arch.univariate.FIGARCH.backcast_transform¶

FIGARCH.backcast_transform(backcast: float | ndarray[tuple[int], dtype[float64]]) → float | ndarray[tuple[int], dtype[float64]][source]¶

Transform user-provided backcast values.

Parameters:¶

backcast: float | ndarray[tuple[int], dtype[float64]]¶

User-provided backcast that approximates sigma2[0].

Returns:¶

backcast – Backcast transformed to the model-appropriate scale.

Return type:¶

float or numpy.ndarray