arch.univariate.base.ARCHModel.compute_param_cov¶ ARCHModel.compute_param_cov(params: ndarray, backcast: None | float | ndarray = None, robust: bool = True) → ndarray[source]¶ 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)