While the forementioned way of creating arpeggios tends to be the most flexible and easiest, an alternative technique exists to create arpeggios.
This technique is much more in line with the old school way of creating arpeggios. The technique uses the pitch LFOs ("P.LFO") for modulating the pitch of a note, and quantizing the modulated pitch to a select few frequencies (these frequencies being the notes of our arpeggio). The frequencies are automatically preselected based on the chord that is playing on the 'Cd' track.
On the 'Pich' (Pitch) page, set 'L.1.Md'(LFO1 Mode) and/or 'L.2.Md'(LFO2 Mode) to 'Chrd'(Chord) to quantize the Pitch LFO's output to the nearest note that matches any note form the currently playing chord (regardless of octave). For example, if a sine wave is configured for the Pitch LFO with a depth of 2.0, the pitch will sweep the chord's note over two octaves.
Note that 'L.1.Md'(LFO1 Mode) can be configure to output a quantized version of LFO 2's output instead by setting L.1.Md'(LFO1 Mode) to 'Chd.2'(Chord, use LFO 2 as input). In the same manner, 'L.2.Md'(LFO2 Mode) can be configure to output a quantized version of LFO 1's output instead by setting L.2.Md'(LFO2 Mode) to 'Chd.1'(Chord, use LFO 1 as input).