arch.univariate.base.ARCHModelForecast¶

class arch.univariate.base.ARCHModelForecast(index, start_index, mean, variance, residual_variance, simulated_paths=None, simulated_variances=None, simulated_residual_variances=None, simulated_residuals=None, align='origin', *, reindex=False)[source]¶

Container for forecasts from an ARCH Model

Parameters¶

index : {list, ndarray}¶

mean : ndarray¶

variance : ndarray¶

residual_variance : ndarray¶

simulated_paths : ndarray, optional¶

simulated_variances : ndarray, optional¶

simulated_residual_variances : ndarray, optional¶

simulated_residuals : ndarray, optional¶

align : {'origin', 'target'}¶

Methods

Properties

mean	Forecast values for the conditional mean of the process
residual_variance	Forecast values for the conditional variance of the residuals
simulations	Detailed simulation results if using a simulation-based method
variance	Forecast values for the conditional variance of the process