Simulating Random Walk / White Noise Processes

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nchesley
Posts: 3
Joined: Sun Oct 26, 2008 12:18 pm

Simulating Random Walk / White Noise Processes

Postby nchesley » Sun Oct 26, 2008 12:26 pm

Can anyone share some insight into simulating a random walk process with distribution properties similar to the observed distribution of a time series variable?

Context: I have tested several ARMA(p,q) and GARCH specifications on a series of monthly price data and want to compare the output against a random walk process that has a behavior similar to the observed series.

Thanks,
NC
:eviews6:

startz
Non-normality and collinearity are NOT problems!
Posts: 3173
Joined: Wed Sep 17, 2008 2:25 pm

Re: Simulating Random Walk / White Noise Processes

Postby startz » Sun Oct 26, 2008 2:13 pm

nchesley wrote:Can anyone share some insight into simulating a random walk process with distribution properties similar to the observed distribution of a time series variable?

Context: I have tested several ARMA(p,q) and GARCH specifications on a series of monthly price data and want to compare the output against a random walk process that has a behavior similar to the observed series.

Thanks,
NC
:eviews6:

if the observed series is X, use the commands

Code: Select all

smpl @all
series simx = 0
smpl 2 @last
simx = @mean(d(x),"@all") + simx(-1) + @stddev(d(x),"@all")*nrnd


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