GARCH.fit

GARCH.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 = GARCH(rng.standard_normal(400)).fit()
>>> res.order, res.nobs, res.n_params
((1, 0, 1), 400, 4)