arch.univariate.FixedVariance.simulate

FixedVariance.simulate(parameters, nobs, rng, burn=500, initial_value=None)[source]

Simulate data from the model

Parameters

  • parameters ({ndarray, Series}) -- Parameters required to simulate the volatility model

  • nobs (int) -- Number of data points to simulate

  • rng (callable) -- Callable function that takes a single integer input and returns a vector of random numbers

  • burn (int, optional) -- Number of additional observations to generate when initializing the simulation

  • initial_value ({float, ndarray}, optional) -- Scalar or array of initial values to use when initializing the simulation

Return type

Tuple[ndarray, ndarray]

Returns

  • resids (ndarray) -- The simulated residuals

  • variance (ndarray) -- The simulated variance