[R-SIG-Finance] Simulating paths in rmgarch

[alexios galanos]

Try using model="VAR" instead of "AR"....will check to see if something
is amiss otherwise.

A.

On 24/03/2017 13:42, Josh Segal wrote:
> Alexios,
>
> Thanks again for your help.
> I'm getting some counterintuitive results with the seriesSim output. 
> When I run your exact example above and then compute
> cor(sim at msim$seriesSim[[1]]), I get a correlation matrix that has
> non-diagonal values close to zero (ranging from -0.10 to 0.08).  
> When I measure the correlation of the original data
> (cor(dji30ret[,1:5])) I get values from 0.33 to 0.66.
> Shouldn't the simulation demonstrate higher unconditional
> correlations?  Am I misunderstanding something about the package, or
> does this indicate a problem?
>
> Thanks,
> Josh
>
> On Wed, Mar 22, 2017 at 4:06 PM, alexios galanos <alexios at 4dscape.com
> <mailto:alexios at 4dscape.com>> wrote:
>
>     library(rmgarch)
>     data("dji30ret")
>     spec<-gogarchspec(mean.model=list(model="AR"),ica = "radical")
>     fit=gogarchfit(spec,dji30ret[,1:5])
>     sim=gogarchsim(fit,n.sim = 1000,m.sim=1,startMethod =
>     "sample",rseed = 10)
>
>     head(sim at msim$seriesSim[[1]])
>     str(sim at msim)
>
>     There are lots of examples and demos in the /inst/rmgarch.tests/
>     folder of the source package.
>
>     Alexios
>
>
>     On 3/22/2017 2:54 PM, Josh Segal wrote:
>
>         Hi everyone,
>
>         I'm trying to use the rmgarch package to estimate a
>         multivariate GARCH
>         model and then use those parameters to simulate paths
>         forward.  I've gotten
>         as far as creating a goGARCHsim object (for example), but
>         can't figure out
>         how to access the simulated returns.  I've looked through all
>         the methods
>         described in the documentation (page 58) but don't see
>         anything relevant.
>         I believe I am able to do this in the univariate case with
>         rugarch - is it
>         not possible in rmgarch?
>
>         Thanks for your help!
>
>                 [[alternative HTML version deleted]]
>
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