arch.covariance.var.PreWhitenedRecolored.bandwidth¶

property PreWhitenedRecolored.bandwidth : float¶

The bandwidth used by the kernel estimator.

Returns:¶

The user-provided bandwidth or the bandwidth of the estimated optimal bandwidth, which is opt_bandwidth less 1 (at least 0) for a kernel that is 0 beyond 1, see bandwidth of the kernel estimators. The kernel is applied to the residuals of the VAR, and so the estimated bandwidth is the optimal bandwidth for the residuals and not for x. It is 0 when kernel is None.

Return type:¶

float