Simulating a GARCH (p,q) process using modified garchSim()

The following code is based on the R function called garchSim(), which is included in the R package called fGarch. The authors for fGarch are Diethelm Wuertz and Yohan Chalabi. To find the related manual, we perform the following steps:

1. Go to http://www.r-project.org.
2. Click on CRAN under Download, Packages.
3. Choose a close-by server.
4. Click on Packages on the left-hand side of the screen.
5. Choose a list and search for fGarch.
6. Click on the link and download the PDF file related to fGarch.

The Python program based on the R program is given as follows:

import scipy as sp
import numpy as np
import matplotlib.pyplot as plt
#
sp.random.seed(12345) 
m=2
n=100              # n is the number of observations
nDrop=100          # we need to drop the first several observations 
delta=2
omega=1e-6 
alpha=(0.05,0.05)
#
beta=0.8 
mu,ma,ar=0.0,0.0,0.0
gamma=(0.0,0.0) 
order_ar=sp.size(ar) 
order_ma=sp.size(ma) 
order_beta=sp.size(beta)
#
order_alpha =sp.size...