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}
meanndarray
variancendarray
residual_variancendarray
simulated_pathsndarray, optional
simulated_variancesndarray, optional
simulated_residual_variancesndarray, optional
simulated_residualsndarray, optional
align{‘origin’, ‘target’}
Attributes
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

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