Dear All,
I am using GARCH tool box for time series modeling. I came
across the word SIMULATION in GARCH tool box and applied simulation on
GARCH Time Series but I am not aware about the results which I am
getting.
Simulation is defined as follows in GARCH tool box:
Given models for the conditional mean and variance, as described in
Conditional Mean and Variance Models, the "garchsim" function can
simulate one or more sample paths for return series, innovations, and
conditional standard deviation processes.
What exactly SIMULATION means ? Like it is written ""garchsim"
function can simulate one or more sample paths for return series,
innovations, and conditional standard deviation processes." What does
exaclty this sentence means?
I ran the following command:
[Innovations,Sigmas,dataret] = garchsim(Coeff) and got the results as
Innovations, Sigmas and Returns.
But i dont know what is the meaning of the series I am getting.
Please help me out.
Regards
Vaibhav
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l...@iitd - http://tinyurl.com/ycueutm
