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Question: Simulation is helpful in learning vector time series. Define the matrice

Use the command
m1 = VARMAsim(300,arlags = c(1),phi = C,sigma = S);zt = m1$series to generate 300 observations from the VAR(1) model

2347_matrics 1.png

where at are iid bivariate normal random variates with mean zero and Cov(at) = S.

• Plot the time series zt.

• Obtain the first five lags of sample CCMs of zt

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Basic Finance, Finance

Category:- Basic Finance
Reference No.:- M92249511

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