ARMAGARCH.fit

ARMAGARCH.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 = ARMAGARCH(rng.standard_normal(400)).fit()
>>> res.mean_order, res.n_params, res.nobs
((1, 1), 6, 399)