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arch.univariate.RiskMetrics2006.backcast_transform
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            • C arch.univariate.RiskMetrics2006
              • arch.univariate.RiskMetrics2006.backcast
              • arch.univariate.RiskMetrics2006.backcast_transform
                • M RiskMetrics2006.backcast_transform
                  • Parameters
                    • p backcast
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    • M RiskMetrics2006.backcast_transform
      • Parameters
        • p backcast
      • Returns
      • Return type

    arch.univariate.RiskMetrics2006.backcast_transform¶

    RiskMetrics2006.backcast_transform(backcast: float | ndarray[tuple[int], dtype[float64]]) → float | ndarray[tuple[int], dtype[float64]][source]¶

    Transformation to apply to 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, ndarray}

    © Copyright 2021, Kevin Sheppard.
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