Hello, 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 heteroscedastisity. As we all know, returns (financial returns) usually have heteroscedastisity. My question is, is it possible somehow generate random numbers which have hetescedastisity? 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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