ARMAGJR.fit

ARMAGJR.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 = ARMAGJR(rng.standard_normal(400)).fit()
>>> res.vol, res.order, res.mean_order, res.n_params
('GJR', (1, 1, 1), (1, 1), 7)