class: Univariate GARCH Simulation Class
Class for the univariate GARCH simulation.
simulation:Object of class "vector"
Holds data on the simulation.
model:Object of class "vector"
The model specification common to all objects.
seed:Object of class "integer"
The random seed used.
signature(object = "uGARCHsim"):
Extracts the conditional sigma simulated values as a matrix of size n.sim x m.sim.
signature(object = "uGARCHsim"):
Extracts the conditional mean simulated values as a matrix of size n.sim x m.sim.
signature(object = "uGARCHsim", probs="numeric"):
Calculates and returns, given a scalar for the probability (additional argument
“probs”), the conditional quantile of the simulated object as an
n.sim by m.sim matrix (with the same type of headings as the sigma and
fitted methods).
signature(x = "uGARCHsim", y = "missing"):
Simulation plots.
signature(object = "uGARCHsim"):
Simulation summary.
The sigma and fitted methods are used to extract the matrix of
simulated conditional sigma and mean values. The as.data.frame
method is globally deprecated as an extractor method in rugarch with the
exception of a few classes which still makes sense to use them.
Alexios Ghalanos
Classes uGARCHforecast, uGARCHfit and
uGARCHspec.
## Not run: # Basic GARCH(1,1) Spec data(dmbp) spec = ugarchspec() fit = ugarchfit(data = dmbp[,1], spec = spec) sim = ugarchsim(fit,n.sim=1000, n.start=1, m.sim=1, startMethod="sample") sim head(sigma(sim)) ## End(Not run)
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