Hi, I'm wondering why dccsim is giving a different 1 step ahead H matrix from dccforecast. Shouldn't these be the same? Running the code below, you can see that only the diagonal matches. Also, if I remove the rseed argument I'm getting an error, is it just me? Lastly, if you just run "sim1", you get an empty summary.
Thanks in advance, ------------------------------------------------------------------------------------- data(dji30retw) Dat = dji30retw[, 1:3, drop = FALSE] cnames = colnames(Dat) uspec = ugarchspec(mean.model = list(armaOrder = c(2,1), include.mean = FALSE), variance.model = list(garchOrder = c(1,1), model = "gjrGARCH"), distribution.model = "norm") spec1 = dccspec(uspec = multispec( replicate(3, uspec) ), dccOrder = c(1,1), distribution = "mvnorm") fit1 = dccfit(spec1, data = Dat, out.sample = 100, fit.control = list( eval.se=FALSE)) T = dim(Dat)[1]-100 forc2 = dccforecast(fit1, n.ahead = 1, n.roll = 10) presigma = tail( sigma(fit1 ), 2 ) preresiduals = tail( residuals(fit1), 2 ) prereturns = tail( as.matrix(Dat[1:T,]), 2 ) sim1 = dccsim(fitORspec = fit1, n.sim = 2, m.sim = 500, startMethod = "unconditional", presigma = presigma, preresiduals = preresiduals, prereturns = prereturns, preQ = last(rcor(fit1, type = "Q"))[,,1], Qbar = fit1@mfit$Qbar, preZ = tail(fit1@mfit$stdresid, 1), rseed=c(152)) sim1@msim$simH[[1]][,,1] forc2@mforecast$H[[1]] [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org 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.