There does not appear to be a problem, and rugarch does take into consideration everything you defined in your specification.
Please follow the guidelines and consider using a reproducible example as I do below: library(rugarch) # reproducible means using data available to the package or # simulated data with the seed provided. data(sp500ret) ############################################################################## # arch in sigma^2 spec <- ugarchspec( variance.model=list(model="sGARCH", garchOrder=c(1,1)),mean.model=list(armaOrder=c(0,0), include.mean=T, archm=T, archpow=2) , distribution.model="norm",start.pars = list(), fixed.pars = list(archm=-0.5)) fit <- ugarchfit(garch11_spec, as.xts(sp500ret), fit.control = list(stationarity = 1, fixed.se = 1)) sim <- ugarchsim(garch11_fit, n.sim = 4516, n.start = 0, m.sim = 2, startMethod = "unconditional", rseed = 123) # Extract the simulated matrices sigmasim = sigma(sim) xsim = fitted(sim) residsim = sim@simulation$residSim # The equation replicated: # first run (m.sim=1) x = coef(fit)["mu"] + -0.500000*sigmasim[,1]^2 + residsim[,1] # Equal to what rugarch returns: all.equal(as.numeric(sim@simulation$seriesSim[,1]), as.numeric(x)) >TRUE # second run (m.sim=2) x = coef(fit)["mu"] + -0.500000*sigmasim[,2]^2 + residsim[,2] all.equal(as.numeric(sim@simulation$seriesSim[,2]), as.numeric(x)) >TRUE ############################################################################## # arch in sigma spec <- ugarchspec( variance.model=list(model="sGARCH", garchOrder=c(1,1)),mean.model=list(armaOrder=c(0,0), include.mean=T, archm=T, archpow=1 ) , distribution.model="norm",start.pars = list(), fixed.pars = list(archm=-0.5)) fit <- ugarchfit(spec, as.xts(sp500ret), fit.control = list(stationarity = 1, fixed.se = 1)) sim <- ugarchsim(fit, n.sim = 4516, n.start = 0, m.sim = 2, startMethod = "unconditional", rseed = 123) sigmasim = sigma(sim) xsim = fitted(sim) residsim = sim@simulation$residSim x = coef(fit)["mu"] + -0.500000*sigmasim[,1] + residsim[,1] all.equal(as.numeric(sim@simulation$seriesSim[,1]), as.numeric(x)) >TRUE x = coef(fit)["mu"] + -0.500000*sigmasim[,2] + residsim[,2] all.equal(as.numeric(sim@simulation$seriesSim[,2]), as.numeric(x)) >TRUE -Alexios On 21/02/2014 03:03, Benny André Byremo wrote: > Hello Everybody > I am posting here because I think I have a problem with performing a > simulation with the rugarch package in R. > I want to simulate a mean model consisting of a half variance and a variance > model equal to the Garch (1,1) model, but I do not think the ugarchsim > function take into consideration the half variance in the mean model > automatically. Is that correct? If thats the case what do I I have to do to > get it correct? The reason for it is that the simulated values is far to big > to be correct. The mean model is: > r_t = u -0.5sigma_t + epsilon_t > and the variance equation is: > sigma^2_t = w + a*epsilon_t + b*sigma^2_t-1. > The specification with the ugarchspec: > garch11_spec <- ugarchspec( variance.model=list(model="sGARCH", > garchOrder=c(1,1)),mean.model=list(armaOrder=c(0,0), include.mean=T, archm=T, > archpow=2 ) , distribution.model="norm",start.pars = list(), fixed.pars = > list(archm=-0.5)) > and this is fitted with the ugarchfit function where r.xts is the data object: > garch11_fit <- ugarchfit(garch11_spec, r.xts, fit.control = list(stationarity > = 1, fixed.se = 1)) > The possible "problem child" is specified as follows: > garch11_sim <- ugarchsim(garch11_fit, n.sim = 4516, n.start = 0, m.sim = > 10000, startMethod = "unconditional", rseed = 123) > names(garch11_sim@simulation) > > I have tried to look for help in the documentation for the package and in the > package vignette without success, so all help would be appreciated. > > Greetings > > > > > > > > > > [[alternative HTML version deleted]] > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > > _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
