arch.univariate.FIGARCH.update

FIGARCH.update(index: int, parameters: ndarray, resids: ndarray, sigma2: ndarray, backcast: float | ndarray, var_bounds: ndarray) float

Compute the variance for a single observation

Parameters:
index: int

The numerical index of the variance to compute

parameters: ndarray

The variance model parameters

resids: ndarray

The residual array. Only uses resids[:index] when computing sigma2[index]

sigma2: ndarray

The array containing the variances. Only uses sigma2[:index] when computing sigma2[index]. The computed value is stored in sigma2[index].

backcast: float | ndarray

Value to use when initializing the recursion

var_bounds: ndarray

Array containing columns of lower and upper bounds

Returns:

The variance computed for location index

Return type:

float