[R] How to generate heteroscedastic random numbers?
akhussanov at gmail.com
Fri Jul 8 18:15:05 CEST 2011
I have tried to generate numbers randomly which follow normal, Student-t and
skewed Student-t distributions. However, when I check those series for
heteroscedastisity test (ARCH) results are showing that there is no
As we all know, returns (financial returns) usually have heteroscedastisity.
My question is, is it possible somehow generate random numbers which have
I was thinking about generating random numbers and sort them out and then
allocate them, so they will have some level of heteroscedastisity. However,
I am not sure if this is correct way of doing it.
I appreciate any input. Thank you.
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