search for: heteroscedastisity

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...