EGARCH.fit

EGARCH.fit()

Estimate mean and variance jointly by Gaussian maximum likelihood.

Return type:

GARCHResult

Returns:

The fitted GARCHResult.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> res = EGARCH(rng.standard_normal(400)).fit()
>>> res.vol, res.n_params, res.unconditional_variance
('EGARCH', 5, None)