arch.univariate.HARX.compute_param_cov

HARX.compute_param_cov(params, backcast=None, robust=True)

Computes parameter covariances using numerical derivatives.

Parameters
  • params (ndarray) -- Model parameters

  • backcast (float) -- Value to use for pre-sample observations

  • robust (bool, optional) -- Flag indicating whether to use robust standard errors (True) or classic MLE (False)

Return type

ndarray