arch.univariate.RiskMetrics2006.constraints

RiskMetrics2006.constraints() → tuple[ndarray[Any, dtype[float64]], ndarray[Any, 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