FIGARCH.fit

FIGARCH.fit()

Estimate mean and variance jointly by Gaussian maximum likelihood.

Return type:

FIGARCHResult

Returns:

The fitted FIGARCHResult.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> res = FIGARCH(rng.standard_normal(600)).fit()
>>> res.persistence, res.is_covariance_stationary, bool(0 < res.d < 1)
(1.0, False, True)