[R-SIG-Finance] Simulating paths in rmgarch
Josh Segal
joshua.segal at gmail.com
Fri Mar 24 21:40:34 CET 2017
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!
> >
> > [[alternative HTML version deleted]]
> >
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