Dear All:
Recently, I need to do a asset allocation exercise in R using rmgarch
package. One-step ahead out of sample returns is needed. I use the
following code:
uspec <- ugarchspec(mean.model=list(armaOrder=c(1,0), include.mean=FALSE),
variance.model=list(garchOrder=c(1,1), model="sGARCH"),
distribution.model="norm")
mspec <- multispec(replicate(2, uspec))
dspec <- dccspec(mspec, VAR=FALSE, robust=FALSE, lag=1,
dccOrder=c(1, 1), asymmetric=FALSE, type="2-step",
distribution = "mvnorm")
dccgarch <- dccfit(dspec, subdata, solver="solnp",
solver.control=list(trace=TRUE))
dccsim <- dccsim(dccgarch, n.sim=1, m.sim=10000, startMethod="sample")
Basically, I need 10000 different 1-step ahead returns for a 2-dimension
time series. However, I do not know how to extract simulated returns from
dccsim. I have read the rmgarch.tests, but still get no clue about it. Any
help is appreciated. Thank you very much.
Regards
ZHU Cai
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