arch.univariate.recursions_python.VolatilityUpdater.update¶
- abstract VolatilityUpdater.update(t, parameters, resids, sigma2, var_bounds)[source]¶
Update the current variance at location t
- Parameters¶
- 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
Notes
The update to sigma2 occurs inplace.