arch.univariate.FIGARCH.simulate

FIGARCH.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: