arch.univariate.ARCH.compute_variance

ARCH.compute_variance(parameters: ndarray, resids: ndarray, sigma2: ndarray, backcast: float | ndarray, var_bounds: ndarray) ndarray

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