python archResult 参数介绍

Results from estimation of an ARCHModel model

class arch.univariate.base.ARCHModelResult(params, param_cov, 
r2, resid, volatility, cov_type, dep_var, names, 
loglikelihood, is_pandas, optim_output, fit_start, fit_stop, model)

Parameters

params {ndarray}
Estimated parameters

param_cov{ndarray, None}
Estimated variance-covariance matrix of params. If none, calls method to compute variance from model when parameter covariance is first used from result

r2 (float)
Model R-squared

resid {ndarray}
Residuals from model. Residuals have same shape as original data and contain nan-values in locations not used in estimation

volatility {ndarray}
Conditional volatility from model

cov_type {str}
String describing the covariance estimator used

dep_var {Series}
Dependent variable

nameslist (str)
Model parameter names

loglikelihood {float}
Loglikelihood at estimated parameters

is_pandas {bool}
Whether the original input was pandas

optim_output {OptimizeResult}
Result of log-likelihood optimization

fit_start {int}
Integer index of the first observation used to fit the model

fit_stop {int}
Integer index of the last observation used to fit the model using slice notation fit_start:fit_stop

model {ARCHModel}
The model object used to estimate the parameters

Attributes

aic
Akaike Information Criteria

bic
Schwarz/Bayesian Information Criteria

conditional_volatility
Estimated conditional volatility

convergence_flag
scipy.optimize.minimize result flag

fit_start
Start of sample used to estimate parameters

fit_stop
End of sample used to estimate parameters

loglikelihood
Model loglikelihood

model
Model instance used to produce the fit

nobs
Number of data points used to estimate model

num_params
Number of parameters in model

optimization_result
Information about the covergence of the loglikelihood optimization

param_cov
Parameter covariance

params
Model Parameters

pvalues
Array of p-values for the t-statistics

resid
Model residuals

rsquared
R-squared

rsquared_adj
Degree of freedom adjusted R-squared

scale
The scale applied to the original data before estimating the model.

std_err
Array of parameter standard errors

std_resid
Residuals standardized by conditional volatility

tvalues
Array of t-statistics testing the null that the coefficient are 0

Methods

arch_lm_test([lags, standardized])
ARCH LM test for conditional heteroskedasticity

conf_int([alpha])
Parameter confidence intervals

forecast([params, horizon, start, align, …])
Construct forecasts from estimated model

hedgehog_plot([params, horizon, step, …])
Plot forecasts from estimated model

plot([annualize, scale])
Plot standardized residuals and conditional volatility

summary()
Constructs a summary of the results from a fit model.

Properties

aic
Akaike Information Criteria

bic
Schwarz/Bayesian Information Criteria

conditional_volatility
Estimated conditional volatility

convergence_flag
scipy.optimize.minimize result flag

fit_start
Start of sample used to estimate parameters

fit_stop
End of sample used to estimate parameters

loglikelihood
Model loglikelihood

model
Model instance used to produce the fit

nobs
Number of data points used to estimate model

num_params
Number of parameters in model

optimization_result
Information about the covergence of the loglikelihood optimization

param_cov
Parameter covariance

params
Model Parameters

pvalues
Array of p-values for the t-statistics

resid
Model residuals

rsquared
R-squared

rsquared_adj
Degree of freedom adjusted R-squared

scale
The scale applied to the original data before estimating the model.

std_err
Array of parameter standard errors

std_resid
Residuals standardized by conditional volatility

tvalues
Array of t-statistics testing the null that the coefficient are 0