I am trying to simulate using a Geometric Brownian Motion process three autocorrelated stocks.
In particular, I need to simulate three different matrices with 1000 scenarios each using a Monte Carlo technique. How could I simulate them in order to be autocorrelated using R Studio?
I saw some posts where it is suggested to use the function mvrnorm() but that it is applied in the generation of a single matrix where the different rows of the matrix are autocorrelated each other. I am looking for a solution where I need to simulate three different matrices that are autocorrelated to each other.
Thanks in advance for your help!