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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