arch.univariate.MIDASHyperbolic.update¶

MIDASHyperbolic.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