arch.univariate.volatility.VolatilityProcess.update¶
- VolatilityProcess.update(index: int, parameters: ndarray[Any, dtype[float64]], resids: ndarray[Any, dtype[float64]], sigma2: ndarray[Any, dtype[float64]], backcast: float | ndarray[Any, dtype[float64]], var_bounds: ndarray[Any, dtype[float64]]) float [source]¶
Compute the variance for a single observation
- Parameters:¶
- index: int¶
The numerical index of the variance to compute
- parameters: ndarray[Any, dtype[float64]]¶
The variance model parameters
- resids: ndarray[Any, dtype[float64]]¶
The residual array. Only uses
resids[:index]
when computingsigma2[index]
- sigma2: ndarray[Any, dtype[float64]]¶
The array containing the variances. Only uses
sigma2[:index]
when computingsigma2[index]
. The computed value is stored insigma2[index]
.- backcast: float | ndarray[Any, dtype[float64]]¶
Value to use when initializing the recursion
- var_bounds: ndarray[Any, dtype[float64]]¶
Array containing columns of lower and upper bounds
- Returns:¶
The variance computed for location
index
- Return type:¶