abstract VolatilityUpdater.update(t, parameters, resids, sigma2, var_bounds)[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.

Return type