question about scaling for garchSim in R

[Frank Hansen]

OK, I think I see that 
garchSpec(gf.df)
is not the way to specify the model.
Thanks.

--- On Thu, 8/19/10, Frank Hansen <hansenfrank at yahoo.com> wrote:

> From: Frank Hansen <hansenfrank at yahoo.com>
> Subject: question about scaling for garchSim in R
> To: Rmetrics-core at r-project.org
> Date: Thursday, August 19, 2010, 11:56 AM
> Hi Rmetrics core team,
> 
> If I run the default garchFit() to estimate garch(1,1) on
> dem2gbp (the default data) and then run garchSim() to
> simulate the dem2gbp data I seem to get very different
> standard deviations between the original dem2gbp data and
> the simulated data output from garchSim()
> 
> I'm probably doing something dumb, but I've read the docs
> and the draft of the paper in J. Stat. Software by W\"urtz,
> Chalabi and Luksan, but I can't figure out how to use the
> extended output from garchSim() to generate simulated time
> series with the same characteristics of the data used in
> garchFit.
> 
> Below is my output.
> 
> THanks
> 
> Frank Hansen
> 
> > gf.df <- garchFit()
> 
> > gf.df
> Title:
>  GARCH Modelling 
> 
> Call:
>  garchFit() 
> 
> Mean and Variance Equation:
>  data ~ garch(1, 1)
>  [data = dem2gbp]
> 
> Conditional Distribution:
>  norm 
> 
> Coefficient(s):
>         mu   
>    omega      alpha1 
>      beta1  
> -0.0061903   0.0107614   0.1531341   0.8059737 
> 
> 
> Std. Errors:
>  based on Hessian 
> 
> Error Analysis:
>         Estimate  Std. Error 
> t value Pr(>|t|)    
> mu     -0.006190   
> 0.008462   -0.732 0.464447    
> omega   0.010761    0.002838 
>   3.793 0.000149 ***
> alpha1  0.153134    0.026422   
> 5.796  6.8e-09 ***
> beta1   0.805974   
> 0.033381   24.144  < 2e-16 ***
> ---
> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.'
> 0.1 ' ' 1 
> 
> Log Likelihood:
>  -1106.608    normalized:  -0.5605916 
> 
> Description:
>  Thu Aug 19 11:42:48 2010 by user:  
> 
> > gs.ex.df <- garchSim( garchSpec(gf.df),n=1974,
> extended=TRUE)
> > head(gs.ex.df)
> GMT
>                
>    garch   
>    sigma     
>    eps
> 2005-03-24  0.0021844729 0.002570202  0.84992253
> 2005-03-25  0.0031580105 0.002600374  1.21444479
> 2005-03-26  0.0006590028 0.002721554  0.24214205
> 2005-03-27 -0.0024301833 0.002639870 -0.92056921
> 2005-03-28  0.0046903885 0.002676885  1.75218180
> 2005-03-29  0.0001290736 0.002988736  0.04318667
> > sd(dem2gbp)
>   DEM2GBP 
> 0.4702445 
> > sd( gs.ex.df)
>        garch     
>   sigma          eps 
> 0.0031823660 0.0004845456 1.0008265912 
> 
> 
> 
> 
>       
>