Simulate GARCH(1,1) time series.
Arguments
- model
a GARCH(1,1) model, an object obtained from
GarchModel.- n
the length of the generated time series.
- n.start
number of warm-up values, which are then dropped.
- seed
an integer to use for setting the random number generator.
Value
a list with components:
- eps
the time series,
- h
the (squared) volatilities,
- eta
the standardised innovations,
- model
the GARCH(1,1) model,
- .sim
a list containing the parameters of the simulation,
- call
the call.
Details
The simulated time series is in component eps of the returned value.
For exploration of algorithms and eestimation procedures, the volatilities
and the standardised innovations are also returned.
The random seed at the start of the simulations is saved in the returned
object. A speficific seed can be requested with argument seed. In
that case the simulations are done with the specified seed and the old state
of the random number generator is restored before the function returns.