ARGARCH.fit

ARGARCH.fit()

Estimate mean and variance jointly by Gaussian maximum likelihood.

Return type:

ARMAGARCHResult

Returns:

The fitted ARMAGARCHResult.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> res = ARGARCH(rng.standard_normal(400), ar_lags=1).fit()
>>> list(res.params), res.ma_params.shape
(['const', 'ar.L1', 'omega', 'alpha[1]', 'beta[1]'], (0,))