ARMAFIGARCH.fit

ARMAFIGARCH.fit()

Estimate mean and variance jointly by Gaussian maximum likelihood.

Return type:

ARMAFIGARCHResult

Returns:

The fitted ARMAFIGARCHResult.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> res = ARMAFIGARCH(rng.standard_normal(600)).fit()
>>> res.mean_order, res.nobs, list(res.params)[:3]
((1, 1), 599, ['const', 'ar.L1', 'ma.L1'])