10000 How to simulate GARCH data for Monte Carlo simulations? · Issue #725 · bashtage/arch · GitHub
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How to simulate GARCH data for Monte Carlo simulations? #725
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@bluefinch83

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@bluefinch83

As the title says, could I use this package to simulate a large number of sample paths from a GARCH model for use in Monte Carlo simulations using this package? If so, how? Because, from what I can tell, the ARCHModel.simulate() function only allows you to simulate one path at time, which is much too slow for a Monte Carlo simulation. Am I mistaken about this, or is there a different way to simulate a large number of sample paths using the package?

If there is no way to simulate multiple paths at once, are there any plans to add this feature in the future?

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