BEKKs (version 1.4.5)

simulate: Simulating BEKK models

Description

Method for simulating a N-dimensional BEKK model.

Usage

# S3 method for bekk
simulate(object, nsim, ...)
# S3 method for bekka
simulate(object, ..., nsim)
# S3 method for dbekk
simulate(object, ..., nsim)
# S3 method for dbekka
simulate(object, ..., nsim)
# S3 method for sbekk
simulate(object, ..., nsim)
# S3 method for sbekka
simulate(object, ..., nsim)

Value

Returns a simulated time series S3 class object using the parameters of passed "bekkSpec" or "bekkFit".

Arguments

object

A spec object of class "bekkSpec" from the function bekk_spec or a fitted bekk model of class "bekkFit" from the bekk_fit function

nsim

Number of observations of the simulated sample

...

Further parameters to be passed on to the function.

Examples

# \donttest{

# simulate a BEKK with estimated parameter
obj_spec <- bekk_spec()
x1 <- bekk_fit(obj_spec, StocksBonds)

x2 <- simulate(x1, nsim = 3000)

plot(x2)

# }