arch.univariate.recursions_python.VolatilityUpdater.update¶
- abstract VolatilityUpdater.update(t: int, parameters: ndarray, resids: ndarray, sigma2: ndarray, var_bounds: ndarray) None [source]¶
Update the current variance at location t
- Parameters:¶
- t: int¶
The index of the value of sigma2 to update. Assumes but does not check that update has been called recursively for 0,1,…,t-1.
- parameters: ndarray¶
Model parameters
- resids: ndarray¶
Residuals to use in the recursion
- sigma2: ndarray¶
Conditional variances with same shape as resids
- var_bounds: ndarray¶
nobs by 2-element array of upper and lower bounds for conditional variances for each time period
Notes
The update to sigma2 occurs inplace.