Merge pull request #326 from bashtage/std-resid-doc-results

ENH/DOC: Add std_resid and improve result doc

arch/tests/univariate/test_mean.py

@@ -400,6 +400,9 @@ def test_ar(self):
         res = ar.fit(disp=DISPLAY)
         assert isinstance(res.resid, pd.Series)
         assert isinstance(res.conditional_volatility, pd.Series)
+        std_resid = res.resid / res.conditional_volatility
+        std_resid.name = "std_resid"
+        assert_series_equal(res.std_resid, std_resid)
         # Smoke bootstrap
         summ = ar.fit(disp=DISPLAY).summary()
         assert 'Constant Variance' in str(summ)

arch/univariate/base.py

@@ -872,12 +872,6 @@ class ARCHModelFixedResult(_SummaryRepr):
 
     Attributes
     ----------
-    loglikelihood : float
-        Value of the log-likelihood
-    params : Series
-        Estimated parameters
-    resid : {ndarray, Series}
-        nobs element array containing model residuals
     model : ARCHModel
         Model instance used to produce the fit
     """
@@ -1069,6 +1063,15 @@ def resid(self):
         else:
             return self._resid
 
+    @cached_property
+    def std_resid(self):
+        """
+        Residuals standardized by conditional volatility
+        """
+        std_res = self.resid / self.conditional_volatility
+        std_res.name = "std_resid"
+        return std_res
+
     def plot(self, annualize=None, scale=None):
         """
         Plot standardized residuals and conditional volatility
@@ -1404,14 +1407,6 @@ class ARCHModelResult(ARCHModelFixedResult):
 
     Attributes
     ----------
-    loglikelihood : float
-        Value of the log-likelihood
-    params : Series
-        Estimated parameters
-    param_cov : DataFrame
-        Estimated variance-covariance of the parameters
-    resid : {ndarray, Series}
-        nobs element array containing model residuals
     model : ARCHModel
         Model instance used to produce the fit
     """

doc/source/univariate/introduction.rst

@@ -118,19 +118,3 @@ using a simple model constructor.
 
 .. currentmodule:: arch
 .. autofunction:: arch_model
-
-
-Model Results
-=============
-All model return the same object, a results class (:class:`ARCHModelResult`)
-
-.. currentmodule:: arch.univariate.base
-.. autoclass:: ARCHModelResult
-   :members: summary, forecast, conf_int, plot, hedgehog_plot, arch_lm_test
-
-When using the ``fix`` method, a (:class:`ARCHModelFixedResult`) is produced
-that lacks some properties of a (:class:`ARCHModelResult`) that are not
-relevant when parameters are not estimated.
-
-.. autoclass:: ARCHModelFixedResult
-   :members: summary, forecast, plot, hedgehog_plot, arch_lm_test

doc/source/univariate/results.rst

@@ -0,0 +1,18 @@
+Model Results
+=============
+All model return the same object, a results class (:class:`ARCHModelResult`).
+When using the ``fix`` method, a (:class:`ARCHModelFixedResult`) is produced
+that lacks some properties of a (:class:`ARCHModelResult`) that are not
+relevant when parameters are not estimated.
+
+
+.. module:: arch.univariate.base
+   :noindex:
+
+.. currentmodule:: arch.univariate.base
+
+.. autosummary::
+   :toctree: generated/
+
+   ARCHModelResult
+   ARCHModelFixedResult