Welcome to MUArch’s documentation!¶
This is a wrapper on top of Kevin Sheppard’s ARCH package. The purpose of which are to:
Enable faster Monte Carlo simulation
Simulate innovations through copula marginals
In the package, there are 2 classes to aid you - UArch
and MUArch
. The UArch
class can be defined using a similar API to arch_model()
in the original arch
package. The MUArch
is a collection of these UArch
models.
Thus, if you have a function that generates uniform marginals, like a copula, you can create a dependence structure among the different marginals when simulating the GARCH processes.
If you need a copula package, I have one here. :)