arch.univariate.ARX.compute_param_cov

ARX.compute_param_cov(params, backcast=None, robust=True)

Computes parameter covariances using numerical derivatives.

Parameters
paramsndarray

Model parameters

backcastfloat

Value to use for pre-sample observations

robustbool, optional

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

Return type

ndarray