arch.univariate.volatility.VolatilityProcess.backcast_transform

VolatilityProcess.backcast_transform(backcast: float | ndarray[Any, dtype[float64]]) float | ndarray[Any, dtype[float64]][source]

Transformation to apply to user-provided backcast values

Parameters:
backcast: float | ndarray[Any, dtype[float64]]

User-provided backcast that approximates sigma2[0].

Returns:

backcast – Backcast transformed to the model-appropriate scale

Return type:

{float, ndarray}