pc_cccsim-class {segMGarch} | R Documentation |
A S4 method that takes as an input a simMGarch
object and outputs a simulated nonstationary CCC model. The formulation of the of the
piecewise constant CCC model is given in the simMGarch
class.
pc_cccsim(object) ## S4 method for signature 'simMGarch' pc_cccsim(object)
object |
a simMGarch object |
Cho, Haeran, and Karolos Korkas. "High-dimensional GARCH process segmentation with an application to Value-at-Risk." arXiv preprint arXiv:1706.01155 (2018).
pw.CCC.obj <- new("simMGarch") pw.CCC.obj <- pc_cccsim(pw.CCC.obj) par(mfrow=c(1,2)) ts.plot(pw.CCC.obj@y[1,],main="a single simulated time series",ylab="series") ts.plot(pw.CCC.obj@h[1,],main="a single simulated conditional variance",ylab="variance")