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
