arch.univariate.ARCH.simulate

ARCH.simulate(parameters, nobs, rng, burn=500, initial_value=None)

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