fGarch: possbible bug(s) in garchSim

[Yohan Chalabi]

>>>> "MM" == michal miklovic <mmiklovic at yahoo.com>
>>>> on Mon, 18 Feb 2008 09:00:43 -0800 (PST)

   MM> Finally, I would like to ask why are you using 'rev' in
   MM> 
   MM> z = c(rev(spec at presample[, 1]), z)
   MM> h = c(rev(spec at presample[, 2])^delta, rep(NA, times = n))
   MM> y = c(rev(spec at presample[, 3]), rep(NA, times = n))
   MM> 
   MM> Thanks for your answer.

spec at presample is a matrix where the rows represented a time in the past.

> spec <- garchSpec(model = list(alpha = c(0.2,0.1), beta = 0.2))
> spec at presample
            z     h y
0  -0.7006318 2e-06 0
-1  1.3742579 2e-06 0

here row #1 is at time t = 0 and row #2 is at time t = -1

when you expand the whole sample as done in 
z = c(rev(spec at presample[,1]), z) 
you want to keep the chronological order. i.e
t = -1, t = 0, t = 1, t = 2, ...

hence the need of rev

> rev(spec at presample[,1])
        -1          0 
 1.3742579 -0.7006318 


Yohan