arch.univariate.ARCH.backcast_transform

ARCH.backcast_transform(backcast: float | ndarray) float | ndarray

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}