arch.univariate.EWMAVariance¶

class arch.univariate.EWMAVariance(lam: float | None = 0.94)[source]¶

Exponentially Weighted Moving-Average (RiskMetrics) Variance process

Parameters:¶

lam: float | None = 0.94¶

Smoothing parameter. Default is 0.94. Set to None to estimate lam jointly with other model parameters

Examples

Daily RiskMetrics EWMA process

>>> from arch.univariate import EWMAVariance
>>> rm = EWMAVariance(0.94)

Notes

The variance dynamics of the model

\[\sigma_t^{2}=\lambda\sigma_{t-1}^2 + (1-\lambda)\epsilon^2_{t-1}\]

When lam is provided, this model has no parameters since the smoothing parameter is treated as fixed. Set lam to None to jointly estimate this parameter when fitting the model.

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
update(index, parameters, resids, sigma2, ...)	Compute the variance for a single observation
variance_bounds(resids[, power])	Construct loose bounds for conditional variances.

Properties

name	The name of the volatility process
num_params	The number of parameters in the model
start	Index to use to start variance subarray selection
stop	Index to use to stop variance subarray selection
updateable	Flag indicating that the volatility process supports update
volatility_updater	Get the volatility updater associated with the volatility process