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}