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2009 Mar 03
0
Monte carlo simulation in fGARCH
...tor 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 sug...