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s-broda / ARCHModels.jl

A Julia package for estimating ARMA-GARCH models.
https://juliaeconometrics.wordpress.com/
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simulate from initial value #94

Open tbeason opened 2 years ago

tbeason commented 2 years ago

Is it possible to simulate a fixed length time series from a given starting point? Say I have a GARCH specification, now I want to simulate potential paths forward from a specific point in time, how can I do that right now? Or is it not possible?

s-broda commented 2 years ago

That's indeed not possible. I agree it would be worth having though.