arch.univariate.ARCH

class arch.univariate.ARCH(p=1)

ARCH process

Parameters

p (int) -- Order of the symmetric innovation

num_params

The number of parameters in the model

Type

int

Examples

ARCH(1) process

>>> from arch.univariate import ARCH

ARCH(5) process

>>> arch = ARCH(p=5)

Notes

The variance dynamics of the model estimated

\[\sigma_t^{2}=\omega+\sum_{i=1}^{p}\alpha_{i}\epsilon_{t-i}^{2}\]

Methods

backcast(resids)	Construct values for backcasting to start the recursion
backcast_transform(backcast)	Transformation to apply to user-provided backcast values
bounds(resids)	Returns bounds for parameters
compute_variance(parameters, resids, sigma2, ...)	Compute the variance for the ARCH model
constraints()	Construct parameter constraints arrays for parameter estimation
forecast(parameters, resids, backcast, ...)	Forecast volatility from the model
parameter_names()	Names of model parameters
simulate(parameters, nobs, rng[, burn, ...])	Simulate data from the model
starting_values(resids)	Returns starting values for the ARCH model
variance_bounds(resids[, power])	Construct loose bounds for conditional variances.

Properties

name	The name of the volatilty process
start	Index to use to start variance subarray selection
stop	Index to use to stop variance subarray selection