arch.univariate.GeneralizedError.starting_values

GeneralizedError.starting_values(std_resid: ndarray) ndarray[source]

Construct starting values for use in optimization.

Parameters:
std_resid: ndarray

Estimated standardized residuals to use in computing starting values for the shape parameter

Returns:

sv – Array containing starting valuer for shape parameter

Return type:

numpy.ndarray

Notes

Defaults to 1.5 which is implies heavier tails than a normal