arch.univariate.RiskMetrics2006.compute_variance

RiskMetrics2006.compute_variance(parameters, resids, sigma2, backcast, var_bounds)[source]

Compute the variance for the ARCH model

Parameters
  • parameters (ndarray) – Model parameters

  • resids (ndarray) – Vector of mean zero residuals

  • sigma2 (ndarray) – Array with same size as resids to store the conditional variance

  • backcast ({float, ndarray}) – Value to use when initializing ARCH recursion. Can be an ndarray when the model contains multiple components.

  • var_bounds (ndarray) – Array containing columns of lower and upper bounds

Return type

ndarray