Hi All, I,m trying to do a GARCH simulation in R 2.3.0 release in Windows XP. I've seen garchsim function but that is for garch (1,1) and ?garch gives an example for ARCH simulation. Can anyone help me how can i extend the help shown in ?garch to GARCH simulation? Please help me in this regard. Thanks, Sumanta Basak.
Hi All, I'm trying to do a GARCH simulation in R 2.3.0 release in Windows XP. I've seen ?garchsim function but that is for garch (1,1) and ?garch gives an example for ARCH simulation. Can anyone help me how can i extend the help shown in ?garch to GARCH simulation? Please help me in this regard. I posted this yesterday, but didn't received any help. Please look into this. Thanks, Sumanta Basak.
Have you tried the following:
> RSiteSearch("garch simulation")
A search query has been submitted to http://search.r-project.org
The results page should open in your browser shortly
> RSiteSearch("garch", "functions")
These provide over 20 hits each, some of which seem relevant to your
question. One respondent noted that this kind of thing is not hard to
simulate in a for loop.
hope this helps.
Spencer Graves
SUMANTA BASAK wrote:> Hi All,
>
> I,m trying to do a GARCH simulation in R 2.3.0 release
> in Windows XP. I've seen garchsim function but that is
> for garch (1,1) and ?garch gives an example for ARCH
> simulation. Can anyone help me how can i extend the
> help shown in ?garch to GARCH simulation? Please help
> me in this regard.
>
> Thanks,
> Sumanta Basak.
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
You should try installing fGarch package. Then you can simulate various garch models using garchsim command. Hope it help. jurica SUMANTA BASAK-4 wrote:> > Hi All, > > I,m trying to do a GARCH simulation in R 2.3.0 release > in Windows XP. I've seen garchsim function but that is > for garch (1,1) and ?garch gives an example for ARCH > simulation. Can anyone help me how can i extend the > help shown in ?garch to GARCH simulation? Please help > me in this regard. > > Thanks, > Sumanta Basak. > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html > >-- View this message in context: http://www.nabble.com/GARCH-SIMULATION-tp4277917p22482421.html Sent from the R help mailing list archive at Nabble.com.