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How to simulate GARCH data for Monte Carlo simulations? #725

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bluefinch83 opened this issue May 13, 2024 · 1 comment
Open

How to simulate GARCH data for Monte Carlo simulations? #725

bluefinch83 opened this issue May 13, 2024 · 1 comment

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@bluefinch83
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As the title says, could I use this package to simulate a large number of sample paths from a GARCH model for use in Monte Carlo simulations using this package? If so, how? Because, from what I can tell, the ARCHModel.simulate() function only allows you to simulate one path at time, which is much too slow for a Monte Carlo simulation. Am I mistaken about this, or is there a different way to simulate a large number of sample paths using the package?

If there is no way to simulate multiple paths at once, are there any plans to add this feature in the future?

@luchungi
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luchungi commented Nov 3, 2024

Use the forecast method found here with method='simulation'

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