.sim.bekk {bmgarch} | R Documentation |
Simulate BEKK data.
Description
Simulates time series data from specified BEKK model.
Usage
.sim.bekk(N, C, A, B, phi = NULL, theta = NULL)
Arguments
N |
Integer. Length of time series. |
C |
Numeric square matrix. Constant covariance matrix (C). Must be symmetric. |
A |
Numeric square matrix. Moving average GARCH matrix (A). |
B |
Numeric square matrix. Autoregressive ARCH matrix (B). |
phi |
Numeric square matrix (Optional). Autoregressive coefficients (Phi). |
theta |
Numeric square matrix (Optional). Moving average coefficients (Theta). |
Details
Simulates timeseries data from specified BEKK model. Number of time series computed from the number of columns in C. All matrices must be of the same dimension. If ARMA parameters (phi, theta) unspecified (NULL), then assumes a constant mean of zero.
Value
Matrix of observations.
Author(s)
Stephen R. Martin
[Package bmgarch version 2.0.0 Index]