LongMemorySVResult.volatility

property LongMemorySVResult.volatility: NDArray[float64]

Smoothed volatility exp(h_t / 2), (n,).

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> res = LongMemorySV(rng.standard_normal(300)).fit()
>>> vol = res.volatility
>>> vol.shape, bool(np.allclose(vol, np.exp(0.5 * res.log_variance)))
((300,), True)