I use fGarch package to estimate AR(1)-ARCH(1) process for a vector of returns. Then, using the estimated parameters I want to simulate 10 000 sample paths where each path has the same length as the vector of returns. So the first line of the code is: spec=garchSpec(model=list(ar= 0.440270860, omega=0.000374365,alpha=0.475446583 , mu=0, beta=0))----
The only way I can think of generating 10 000 sample paths is by looping. But in the line of code that tells R to simulate data - sim<-garchSim(simspec, 100000,extended=F) – I cannot figure out how to make the loop work. I tried to solve this problem by making only one sample path where, for example, instead of making 3 paths each with 100 observations I have one path with 300 observations. But when I do it, I get weird results. Can somebody suggest how to modify the code to perform Monte Carlo simulation of GARCH? Thanks, Jurica ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
