arch.univariate.GARCH.simulate

GARCH.simulate(parameters: Sequence[float | int] | ndarray | Series, nobs: int, rng: Callable[[int | tuple[int, ...]], ndarray], burn: int = 500, initial_value: None | float | ndarray = None) tuple[ndarray, ndarray][source]

Simulate data from the model

Parameters:
parameters: Sequence[float | int] | ndarray | Series

Parameters required to simulate the volatility model

nobs: int

Number of data points to simulate

rng: Callable[[int | tuple[int, ...]], ndarray]

Callable function that takes a single integer input and returns a vector of random numbers

burn: int = 500

Number of additional observations to generate when initializing the simulation

initial_value: None | float | ndarray = None

Scalar or array of initial values to use when initializing the simulation

Returns: