[R-SIG-Finance] Simulating paths in rmgarch

[Josh Segal]

VAR seems ok, while AR and constant are not

Should I only use VAR with GOGARCH?

On Fri, Mar 24, 2017 at 3:43 PM, alexios galanos <alexios at 4dscape.com>
wrote:

> 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!
> >
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> >
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