arch.univariate.FixedVariance.variance_bounds

FixedVariance.variance_bounds(resids, power=2.0)

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