arch.univariate.base.ARCHModelFixedResult

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

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