How to simulate Arima-Garch models in R?

Question

I was trying to find how may I simulate (i.e. generate ARIMA in the mean model and a GARCh in the variance model) in R.

I tried searching online but I only found how to fit such a model using

spec <- 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()
                    )

Then I write

garch <- ugarchfit(spec = spec, data = data, solver.control = list(trace=0))

This is obviously fitting and not simulating i.e. generating random variables.

Answer 1

Perhaps you're looking for the ugarchsim function which takes the result of ugarchfit as an input.

Check out this example.