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arch.univariate.ConstantVariance.backcast
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    • Univariate Volatility Models
      • Introduction
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      • Volatility Forecasting
      • Value-at-Risk Forecasting
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        • arch.univariate.ConstantVariance
          • C arch.univariate.ConstantVariance
            • arch.univariate.ConstantVariance.backcast
              • M ConstantVariance.backcast
                • Parameters
                  • p resids
                • Returns
                • Return type
            • arch.univariate.ConstantVariance.backcast_transform
            • arch.univariate.ConstantVariance.bounds
            • arch.univariate.ConstantVariance.compute_variance
            • arch.univariate.ConstantVariance.constraints
            • arch.univariate.ConstantVariance.forecast
            • arch.univariate.ConstantVariance.parameter_names
            • arch.univariate.ConstantVariance.simulate
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            • arch.univariate.ConstantVariance.update
            • arch.univariate.ConstantVariance.variance_bounds
            • arch.univariate.ConstantVariance.name
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            • arch.univariate.ConstantVariance.start
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            • arch.univariate.ConstantVariance.updateable
            • arch.univariate.ConstantVariance.volatility_updater
        • arch.univariate.GARCH
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        • Parameterless Variance Processes
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        • Writing New Volatility Processes
      • Using the Fixed Variance Process
      • Distributions
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      • Background and References
    • Bootstrapping
    • Multiple Comparison Problems
    • Unit Root Testing
    • Cointegration Analysis
    • Long-run Covariance Estimation
    • API Reference
    • Common Type Definitions
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    • M ConstantVariance.backcast
      • Parameters
        • p resids
      • Returns
      • Return type

    arch.univariate.ConstantVariance.backcast¶

    ConstantVariance.backcast(resids: ndarray[tuple[int], dtype[float64]] | Series) → float | ndarray[tuple[int], dtype[float64]][source]¶

    Construct values for backcasting to start the recursion

    Parameters:¶
    resids: ndarray[tuple[int], dtype[float64]] | Series¶

    Vector of (approximate) residuals

    Returns:¶

    backcast – Value to use in backcasting in the volatility recursion

    Return type:¶

    float

    © Copyright 2021, Kevin Sheppard.
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