arch.univariate.base.ARCHModel.compute_param_cov

ARCHModel.compute_param_cov(params, backcast=None, robust=True)[source]

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