arch.univariate.FixedVariance

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

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