I want to simulate a VARMA-GARCH process in R. Unfortunately, I found no package to help me with that. I tried modelling the MGARCH part on itw own and combine it with the VARMA simulation using MTS package but the variance/ covariance matrix of the MGARCH model can't be included there. Does anybody have an idea about how to do that? Thanks

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    $\begingroup$ I am voting to close this question is off topic due to the lack of a direct connection to quant finance. It is not sufficient in my opinion if you want to run a statistical model on finance data. I think it would be better suited for Cross Validated but they already closed it as off topic: stats.stackexchange.com/questions/267350/varma-garch-in-r. $\endgroup$ – LocalVolatility Mar 14 '17 at 13:41

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