arch.univariate.RiskMetrics2006.compute_variance¶
- RiskMetrics2006.compute_variance(parameters: ndarray, resids: ndarray, sigma2: ndarray, backcast: float | ndarray, var_bounds: ndarray) ndarray [source]¶
Compute the variance for the ARCH model
- Parameters:¶
- parameters: ndarray¶
Model parameters
- resids: ndarray¶
Vector of mean zero residuals
- sigma2: ndarray¶
Array with same size as resids to store the conditional variance
- backcast: float | ndarray¶
Value to use when initializing ARCH recursion. Can be an ndarray when the model contains multiple components.
- var_bounds: ndarray¶
Array containing columns of lower and upper bounds