RTL (version 1.3.2)

simMultivariates: Multivariate normal from historical dataset

Description

Generates multivariate random epsilons using absolute returns.

Usage

simMultivariates(nsims = 10, x, s0 = NULL)

Value

List of means, sds, covariance matrix, correlation matrix and simulated values

Arguments

nsims

Number of simulations. Defaults to 10

x

Wide data frame of prices with date as first column.

s0

Vector of starting value for each variables. Defaults to NULL with zero.

Author

Philippe Cote

Examples

simMultivariates(nsims = 10, x = RTL::fizdiffs, s0 = NULL)