Is it possible to use the GATCH11 likelihood with nonzero mean? I want to implement the heteroscedastic variance, and am using a for loop in the model (I would use a scan, but I am unsure how to store the intermediate variables). Any thoughts?

GARCH11 with nonzero mean?

niall20 January 30, 2023, 2:26pm 5

I’m getting quite a strange compilation error/haven’t tried to use GARCH since updating to PyMC v5.

pytensor_compilation_error_wk4j2kxk

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