arch.univariate.RiskMetrics2006.constraints

RiskMetrics2006.constraints()[source]

Construct parameter constraints arrays for parameter estimation

Return type

Tuple[ndarray, ndarray]

Returns

  • A (ndarray) – Parameters loadings in constraint. Shape is number of constraints by number of parameters

  • b (ndarray) – Constraint values, one for each constraint

Notes

Values returned are used in constructing linear inequality constraints of the form A.dot(parameters) - b >= 0