arch.univariate.RiskMetrics2006.constraints¶

RiskMetrics2006.constraints() → tuple[ndarray[tuple[int, ...], dtype[float64]], ndarray[tuple[int, ...], dtype[float64]]][source]¶

Construct parameter constraints arrays for parameter estimation.

Returns:¶

• A (numpy.ndarray) – Parameters loadings in constraint. Shape is number of constraints by number of parameters.

• b (numpy.ndarray) – Constraint values, one for each constraint.

Notes

Values returned are used in constructing linear inequality constraints of the form A.dot(parameters) - b >= 0