arch.univariate.RiskMetrics2006.backcast_transform¶
-
RiskMetrics2006.
backcast_transform
(backcast)[source]¶ Transformation to apply to user-provided backcast values
- Parameters
backcast ({float, ndarray}) -- User-provided
backcast
that approximates sigma2[0].- Returns
backcast -- Backcast transformed to the model-appropriate scale
- Return type
{float, ndarray}