arch.univariate.recursions_python.VolatilityUpdater¶

class arch.univariate.recursions_python.VolatilityUpdater[source]¶

Base class that all volatility updaters must inherit from.

Notes

See the implementation available for information on modifying __init__ to capture model-specific parameters and how initialize_update is used to precompute values that change in each likelihood but not each iteration of the recursion.

When writing a volatility updater, it is recommended to follow the examples in recursions.pyx which use Cython to produce a C-callable update function that can then be used to improve performance. The subclasses of this abstract metaclass are all pure Python and model estimation performance is poor since loops are written in Python.

Methods

initialize_update(parameters, backcast, nobs)	Initialize the recursion prior to calling update
update(t, parameters, resids, sigma2, var_bounds)	Update the current variance at location t