arch.covariance.kernel.ZeroLag.bandwidth¶

property ZeroLag.bandwidth : float¶

The bandwidth used by the covariance estimator.

Returns:¶

The user-provided bandwidth, or the bandwidth of the estimated optimal bandwidth opt_bandwidth.

Return type:¶

float

Notes

opt_bandwidth is the bandwidth S of the kernel \(k(h/S)\) of Andrews (1991) and Newey and West (1994). A kernel that is 0 beyond 1 gives lag h the weight \(k(h/(H+1))\) for a bandwidth H, so its estimated bandwidth is \(H=\max(S-1, 0)\), and the weights are those of S. The quadratic-spectral kernel uses \(k(h/H)\), and its estimated bandwidth is S. The bandwidth is rounded up if force_int is True.