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:

There is a second edition from 2019.

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    $\begingroup$ I have flagged the question for turning it into Community Wiki, and I suggest one reference per answer. $\endgroup$ – Richard Hardy Mar 17 '17 at 14:12

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