arch.univariate.FixedVariance

class arch.univariate.FixedVariance(variance, unit_scale=False)

Fixed volatility process

Parameters

• variance ({array, Series}) -- Array containing the variances to use. Should have the same shape as the data used in the model.

• unit_scale (bool, optional) -- Flag whether to enforce a unit scale. If False, a scale parameter will be estimated so that the model variance will be proportional to variance. If True, the model variance is set of variance

Notes

Allows a fixed set of variances to be used when estimating a mean model, allowing GLS estimation.

Methods

backcast(resids)	Construct values for backcasting to start the recursion
backcast_transform(backcast)	Transformation to apply to user-provided backcast values
bounds(resids)	Returns bounds for parameters
compute_variance(parameters, resids, sigma2, ...)	Compute the variance for the ARCH model
constraints()	Construct parameter constraints arrays for parameter estimation
forecast(parameters, resids, backcast, ...)	Forecast volatility from the model
parameter_names()	Names of model parameters
simulate(parameters, nobs, rng[, burn, ...])	Simulate data from the model
starting_values(resids)	Returns starting values for the ARCH model
variance_bounds(resids[, power])	Construct loose bounds for conditional variances.

Properties

name	The name of the volatilty process
start	Index to use to start variance subarray selection
stop	Index to use to stop variance subarray selection