arch.univariate.RiskMetrics2006.variance_bounds¶
-
RiskMetrics2006.
variance_bounds
(resids, power=2.0)[source]¶ Construct loose bounds for conditional variances.
These bounds are used in parameter estimation to ensure that the log-likelihood does not produce NaN values.
- Parameters
resids (ndarray) -- Approximate residuals to use to compute the lower and upper bounds on the conditional variance
power (float, optional) -- Power used in the model. 2.0, the default corresponds to standard ARCH models that evolve in squares.
- Returns
var_bounds -- Array containing columns of lower and upper bounds with the same number of elements as resids
- Return type
ndarray