arch.univariate.RiskMetrics2006.simulate¶
-
RiskMetrics2006.simulate(parameters: Sequence[int | float] | ndarray | Series, nobs: int, rng: Callable[[int | tuple[int, ...]], ndarray[Any, dtype[float64]]], burn: int =
500
, initial_value: float | ndarray[Any, dtype[float64]] | None =None
) tuple[ndarray[Any, dtype[float64]], ndarray[Any, dtype[float64]]] [source]¶ Simulate data from the model
- Parameters:¶
- parameters: Sequence[int | float] | ndarray | Series¶
Parameters required to simulate the volatility model
- nobs: int¶
Number of data points to simulate
- rng: Callable[[int | tuple[int, ...]], ndarray[Any, dtype[float64]]]¶
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: float | ndarray[Any, dtype[float64]] | None =
None
¶ Scalar or array of initial values to use when initializing the simulation
- Returns:¶
resids (
numpy.ndarray
) – The simulated residualsvariance (
numpy.ndarray
) – The simulated variance