Simulating Random Walk / White Noise Processes

[nchesley]

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

[startz]

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

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