arch.univariate.ARX.compute_param_cov¶

ARX.compute_param_cov(params: ndarray, backcast: None | float | ndarray = None, robust: bool = True) → ndarray¶

Computes parameter covariances using numerical derivatives.

Parameters:¶

params: ndarray¶

Model parameters

backcast: None | float | ndarray = None¶

Value to use for pre-sample observations

robust: bool = True¶

Flag indicating whether to use robust standard errors (True) or classic MLE (False)