arch.covariance.kernel.CovarianceEstimator.opt_bandwidth¶

property CovarianceEstimator.opt_bandwidth : float¶

Estimate optimal bandwidth.

Returns:¶

The estimated optimal bandwidth.

Return type:¶

float

Notes

Computed as

\[\hat{b}_T = c_k \left[\hat{\alpha}\left(q\right) T \right]^{\frac{1}{2q+1}}\]

where \(c_k\) is a kernel-dependent constant, T is the sample size, q determines the optimal bandwidth rate for the kernel.