ARMAEGARCH.fit

ARMAEGARCH.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 = ARMAEGARCH(rng.standard_normal(400)).fit()
>>> res.vol, res.n_params, res.nobs
('EGARCH', 7, 399)