statsmodels.regression.rolling.RollingRegressionResults.cov_params

RollingRegressionResults.cov_params()

Estimated parameter covariance

Returns:

array_like

The estimated model covariances. If the original input is a numpy array, the returned covariance is a 3-d array with shape (nobs, nvar, nvar). If the original inputs are pandas types, then the returned covariance is a DataFrame with a MultiIndex with key (observation, variable), so that the covariance for observation with index i is cov.loc[i].