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 computingsigma2[index]
- sigma2: ndarray¶
The array containing the variances. Only uses
sigma2[:index]
when computingsigma2[index]
. The computed value is stored insigma2[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:¶