Simulate GOGARCH Data — simulate

Simulate data from a Generalized Orthogonal GARCH process.

Usage

simulate_gogarch(
  n,
  k = 3,
  A = NULL,
  omega = NULL,
  alpha_garch = NULL,
  beta_garch = NULL,
  distribution = c("norm", "std"),
  shape = 8,
  seed = NULL
)

Arguments

n: Integer number of observations
k: Integer number of series/components (default: 3)
A: Matrix: mixing matrix (k x k). If NULL, a random orthogonal matrix is used.
omega: Numeric vector of component GARCH omega parameters
alpha_garch: Numeric vector of component GARCH alpha parameters
beta_garch: Numeric vector of component GARCH beta parameters
distribution: Character: component distribution ("norm" or "std")
shape: Numeric: degrees of freedom for "std" distribution (default: 8)
seed: Integer random seed

Value

List with:

y: Matrix of simulated returns (n x k)
S: Matrix of independent components (n x k)
A: Mixing matrix used
W: Unmixing matrix
true_params: List of true parameters

Examples

if (FALSE) { # \dontrun{
# Simulate 500 observations from 3-series GOGARCH
result <- simulate_gogarch(n = 500, k = 3, seed = 42)
y <- result$y
} # }