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Simulate DCC-GARCH data for testing

simulate_dcc_garch_test_data.Rd

Simulate DCC-GARCH data for testing

Usage

simulate_dcc_garch_test_data(
  n = 200,
  k = 2,
  alpha = 0.05,
  beta = 0.9,
  seed = 123
)

Arguments

n

Number of observations

k

Number of series

alpha

DCC alpha parameter

beta

DCC beta parameter

seed

Random seed

Value

List with y (data), true_params, Qbar