arch.univariate.ConstantMean.compute_param_cov

ConstantMean.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)