arch.univariate.GeneralizedError.starting_values

GeneralizedError.starting_values(std_resid)[source]

Construct starting values for use in optimization.

Parameters

std_resid (ndarray) – Estimated standardized residuals to use in computing starting values for the shape parameter

Returns

sv – Array containing starting valuer for shape parameter

Return type

ndarray

Notes

Defaults to 1.5 which is implies heavier tails than a normal