arch.univariate.HARCH.compute_variance¶
- HARCH.compute_variance(parameters: ndarray[Any, dtype[float64]], resids: ndarray[Any, dtype[float64]], sigma2: ndarray[Any, dtype[float64]], backcast: float | ndarray[Any, dtype[float64]], var_bounds: ndarray[Any, dtype[float64]]) ndarray[Any, dtype[float64]] [source]¶
Compute the variance for the ARCH model
- Parameters:¶
- parameters: ndarray[Any, dtype[float64]]¶
Model parameters
- resids: ndarray[Any, dtype[float64]]¶
Vector of mean zero residuals
- sigma2: ndarray[Any, dtype[float64]]¶
Array with same size as resids to store the conditional variance
- backcast: float | ndarray[Any, dtype[float64]]¶
Value to use when initializing ARCH recursion. Can be an ndarray when the model contains multiple components.
- var_bounds: ndarray[Any, dtype[float64]]¶
Array containing columns of lower and upper bounds