arch.univariate.RiskMetrics2006.backcast¶

RiskMetrics2006.backcast(resids: ndarray[Any, dtype[float64]]) → float | ndarray[Any, dtype[float64]][source]¶

Construct values for backcasting to start the recursion

Parameters:¶

resids: ndarray[Any, dtype[float64]]¶

Vector of (approximate) residuals

Returns:¶

backcast – Backcast values for each EWMA component

Return type:¶

numpy.ndarray