rugarch: arfimapath-methods – R documentation

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arfimapath-methods

function: ARFIMA Path Simulation

Description

Method for simulating the path of an ARFIMA model. This is a convenience function which does not require a fitted object (see note below).

Usage

arfimapath(spec, n.sim = 1000, n.start = 0, m.sim = 1, prereturns = NA, 
	preresiduals = NA, rseed = NA, 
	custom.dist=list(name = NA, distfit = NA, type = "z"), mexsimdata=NULL, ...)

Arguments

`spec`	An ARFIMA object of class `ARFIMAspec` with the required parameters of the model supplied via the fixed.pars list argument.
`n.sim`	The simulation horizon.
`n.start`	The burn-in sample.
`m.sim`	The number of simulations.
`prereturns`	Allows the starting return data to be provided by the user.
`preresiduals`	Allows the starting residuals to be provided by the user.
`rseed`	Optional seeding value(s) for the random number generator.
`custom.dist`	Optional density with fitted object from which to simulate. The “type” argument denotes whether the standardized innovations are passed (“z”) else the innovations (anything other than “z”).
`mexsimdata`	Matrix of simulated external regressor-in-mean data. If the fit object contains external regressors in the mean equation, this must be provided.
`...`	.

Details

This is a convenience method to allow path simulation of ARFIMA models without the need to supply a fit object as in the arfimasim method. Instead, an arfima spec object is required with the model parameters supplied via the setfixed<- argument to the spec.

Value

A ARFIMApath object containing details of the ARFIMA path simulation.

Author(s)

Alexios Ghalanos

rugarch

Univariate GARCH Models

v1.4-4

GPL-3

Authors

Alexios Ghalanos [aut, cre], Tobias Kley [ctb]

Initial release

2020-07-14