arch.univariate.GARCH.backcast¶

GARCH.backcast(resids: ndarray[Any, dtype[float64]]) → float | ndarray[Any, dtype[float64]][source]¶

Construct values for backcasting to start the recursion

Parameters:¶

resids: ndarray[Any, dtype[float64]]¶

Vector of (approximate) residuals

Returns:¶

backcast – Value to use in backcasting in the volatility recursion

Return type:¶

float