arch.univariate.base.ARCHModelFixedResult

class arch.univariate.base.ARCHModelFixedResult(params, resid, volatility, dep_var, names, loglikelihood, is_pandas, model)

Results for fixed parameters for an ARCHModel model

Parameters

• params (ndarray) -- Estimated parameters

• resid (ndarray) -- Residuals from model. Residuals have same shape as original data and contain nan-values in locations not used in estimation

• volatility (ndarray) -- Conditional volatility from model

• dep_var (Series) -- Dependent variable

• names (list (str)) -- Model parameter names

• loglikelihood (float) -- Loglikelihood at specified parameters

• is_pandas (bool) -- Whether the original input was pandas

• model (ARCHModel) -- The model object used to estimate the parameters

Methods

arch_lm_test([lags, standardized])	ARCH LM test for conditional heteroskedasticity
forecast([params, horizon, start, align, ...])	Construct forecasts from estimated model
hedgehog_plot([params, horizon, step, ...])	Plot forecasts from estimated model
plot([annualize, scale])	Plot standardized residuals and conditional volatility
summary()	Constructs a summary of the results from a fit model.

Properties

aic	Akaike Information Criteria
bic	Schwarz/Bayesian Information Criteria
conditional_volatility	Estimated conditional volatility
loglikelihood	Model loglikelihood
model	Model instance used to produce the fit
nobs	Number of data points used to estimate model
num_params	Number of parameters in model
params	Model Parameters
resid	Model residuals
std_resid	Residuals standardized by conditional volatility