I would like to use GARCH(1,1) to simulate $n$ samples. I really need to understand it deeply, so are there any good book or tutorials that can help?
Rather comprehensive and advanced:
- Francq, Christian, and Jean-Michel Zakoian. GARCH Models: Structure, Statistical Inference and Financial Applications. John Wiley & Sons, 2010.
There is a second edition from 2019.