请问在R语言的rugarch包中,如何模拟得到数据生成过程为ARFIMA-GARCH模型的仿真数据啊,arfima参数的阶数是分数阶的,不知道如何设置,请问可以抽空帮我解答么?谢谢
ugarchspec是设定拟合模型的各个参数,官方解释如下:
ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1),submodel = NULL, external.regressors = NULL, variance.targeting = FALSE),mean.model = list(armaOrder = c(1, 1), include.mean = TRUE, archm = FALSE,archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALSE),distribution.model = "norm", start.pars = list(), fixed.pars = list(), ...)