abstract VolatilityUpdater.update(t: int, parameters: ndarray, resids: ndarray, sigma2: ndarray, var_bounds: ndarray) None[source]

Update the current variance at location t

t: int

The index of the value of sigma2 to update. Assumes but does not check that update has been called recursively for 0,1,…,t-1.

parameters: ndarray

Model parameters

resids: ndarray

Residuals to use in the recursion

sigma2: ndarray

Conditional variances with same shape as resids

var_bounds: ndarray

nobs by 2-element array of upper and lower bounds for conditional variances for each time period


The update to sigma2 occurs inplace.