VoseTimeMultiAR2 | Vose Software

VoseTimeMultiAR2

See also: Time series in ModelRisk, Vose Multivariate Time Series window

VoseTimeMultiAR2({Means}, {Phi1}, {Phi2}, {CovMatrix}, {Period 0 log returns}, {Period -1 log returns}, Log Return, {Initial Values}, Data_in_rows)

 

 

 

Array function that simulates from a Multivariate Auto-Regressive time series model of order 2.

  • {Means} - array of mean log returns per period for each variable.

  • {Phi1} - matrix of first period autoregressive parameters.

  • {Phi2} - matrix of second period autoregressive parameters.

  • {CovMatrix} - covariance matrix of log returns.

  • {Period 0 log returns} - log returns at period zero.

  • {Period -1 log returns} - log returns at period -1.

  • Log Return - an optional parameter. Function generates log returns if set to TRUE, or variable values if set to FALSE or omitted.

  • {Initial Values} - array of starting values (at time zero) for each variable.

  • Data_in_rows - optional parameter that specifies if the data is in rows (TRUE) or columns (FALSE, default).

Equations

where:

k - number of variables

- k x 1 random vector, if   is the value of the variable at time t, then is the log return defined as

- k x 1 vector of means

- k x k autoregressive coefficient matrix, i=1,2,

- k x 1 vector of uncorrelated random variables, which is defined as follows:

 

VoseFunctions for this time series

VoseTimeMultiAR2 - generates an array of random values from this time series.

VoseTimeMultiAR2Object - creates an object for this time series.

 

ModelRisk

Monte Carlo simulation in Excel. Learn more

Spreadsheet risk analysis modeling

Tamara

Adding risk and uncertainty to your project schedule. Learn more

Project risk analysis

Navigation

Enterprise Risk Management software (ERM)

Learn more about our enterprise risk analysis management software tool, Pelican

Enterprise risk management software introduction