arch.univariate.base.ARCHModelForecast¶
- class arch.univariate.base.ARCHModelForecast(index: list[Label] | pd.Index, start_index: int, mean: Float64Array, variance: Float64Array, residual_variance: Float64Array, simulated_paths: Float64Array | None = None, simulated_variances: Float64Array | None = None, simulated_residual_variances: Float64Array | None = None, simulated_residuals: Float64Array | None = None, align: Literal['origin', 'target'] = 'origin', *, reindex: bool = False)[source]¶
Container for forecasts from an ARCH Model
- Parameters:¶
- index: list[Label] | pd.Index¶
- mean: Float64Array¶
- variance: Float64Array¶
- residual_variance: Float64Array¶
- simulated_paths: Float64Array | None = None¶
- simulated_variances: Float64Array | None = None¶
- simulated_residual_variances: Float64Array | None = None¶
- simulated_residuals: Float64Array | None = None¶
- align: Literal['origin', 'target'] = 'origin'¶
Methods
Properties
Forecast values for the conditional mean of the process
Forecast values for the conditional variance of the residuals
Detailed simulation results if using a simulation-based method
Forecast values for the conditional variance of the process