arch.univariate.HARCH.compute_variance¶
-
HARCH.
compute_variance
(parameters, resids, sigma2, backcast, var_bounds)[source]¶ Compute the variance for the ARCH model
- Parameters
parameters (ndarray) -- Model parameters
resids (ndarray) -- Vector of mean zero residuals
sigma2 (ndarray) -- Array with same size as resids to store the conditional variance
backcast ({float, ndarray}) -- Value to use when initializing ARCH recursion. Can be an ndarray when the model contains multiple components.
var_bounds (ndarray) -- Array containing columns of lower and upper bounds
- Return type