arfimapath-methods {rugarch}R Documentation

function: ARFIMA Path Simulation

Description

Method for simulating the path of an ARFIMA model. This is a convenience function which does not require a fitted object (see note below).

Usage

arfimapath(spec, n.sim = 1000, n.start = 0, m.sim = 1, prereturns = NA, 
	preresiduals = NA, rseed = NA, 
	custom.dist=list(name = NA, distfit = NA, type = "z"), mexsimdata=NULL, ...)

Arguments

spec

An ARFIMA object of class ARFIMAspec with the required parameters of the model supplied via the fixed.pars list argument.

n.sim

The simulation horizon.

n.start

The burn-in sample.

m.sim

The number of simulations.

prereturns

Allows the starting return data to be provided by the user.

preresiduals

Allows the starting residuals to be provided by the user.

rseed

Optional seeding value(s) for the random number generator.

custom.dist

Optional density with fitted object from which to simulate. The “type” argument denotes whether the standardized innovations are passed (“z”) else the innovations (anything other than “z”).

mexsimdata

Matrix of simulated external regressor-in-mean data. If the fit object contains external regressors in the mean equation, this must be provided.

...

.

Details

This is a convenience method to allow path simulation of ARFIMA models without the need to supply a fit object as in the arfimasim method. Instead, an arfima spec object is required with the model parameters supplied via the setfixed<- argument to the spec.

Value

A ARFIMApath object containing details of the ARFIMA path simulation.

Author(s)

Alexios Ghalanos

[Package rugarch version 1.0-10 Index]