class: Univariate GARCH Simulation Class

Description

Class for the univariate GARCH simulation.

Extends

Class "GARCHsim", directly. Class "rGARCH", by class "GARCHsim", distance 2.

Slots

simulation:

Object of class "vector" Holds data on the simulation.

model:

Object of class "vector" The model specification common to all objects.

seed:

Object of class "integer" The random seed used.

Methods

as.data.frame

signature(x = "uGARCHsim"): Extracts the simulated values (see note).

plot

signature(x = "uGARCHsim", y = "missing"): Simulation plots.

show

signature(object = "uGARCHsim"): Simulation summary.

Note

The as.data.frame function takes optionally 1 additional arguments, namely which, indicating the type of simulation series to extract. Valid values are “sigma” for the simulated sigma, “series” for the simulated series and “residuals” for the simulated residuals. The dimension of the data.frame will be n.sim by m.sim.

Author(s)

Alexios Ghalanos

See Also

Classes uGARCHforecast, uGARCHfit and uGARCHspec.

Examples

## Not run: 
# Basic GARCH(1,1) Spec
data(dmbp)
spec = ugarchspec()
fit = ugarchfit(data = dmbp[,1], spec = spec)
sim = ugarchsim(fit,n.sim=1000, n.start=1, m.sim=1, startMethod="sample")
sim
# plot(sim, which="all")
# as.data.frame takes an extra argument which
# indicating one of "sigma", "series" and "residuals"
head(as.data.frame(sim, which = "sigma"))

## End(Not run)