arch.covariance.kernel.Gallant.cov¶

property Gallant.cov : CovarianceEstimate¶

The estimated covariances.

Returns:¶

Covariance estimate instance containing 4 estimates:

• long_run

• short_run

• one_sided

• one_sided_strict

Return type:¶

arch.covariance.kernel.CovarianceEstimate

See also

arch.covariance.kernel.CovarianceEstimate