arch.univariate.base.ARCHModelForecastSimulation¶

class arch.univariate.base.ARCHModelForecastSimulation(index: list[Hashable | None] | Index, values: ndarray[tuple[int, ...], dtype[float64]] | None, residuals: ndarray[tuple[int, ...], dtype[float64]] | None, variances: ndarray[tuple[int, ...], dtype[float64]] | None, residual_variances: ndarray[tuple[int, ...], dtype[float64]] | None)[source]¶

Container for a simulation or bootstrap-based forecasts from an ARCH Model.

Parameters:¶

index: list[Hashable | None] | Index¶

The index aligned to dimension 0 of the simulation paths.

values: ndarray[tuple[int, ...], dtype[float64]] | None¶

Simulated values of the process. A 3-d array with dimensions (number of forecast origins, number of simulations, horizon).

residuals: ndarray[tuple[int, ...], dtype[float64]] | None¶

Simulated residuals used to produce the values. A 3-d array with the same dimensions as values.

variances: ndarray[tuple[int, ...], dtype[float64]] | None¶

Simulated variances of the values. A 3-d array with the same dimensions as values.

residual_variances: ndarray[tuple[int, ...], dtype[float64]] | None¶

Simulated variances of the residuals. A 3-d array with the same dimensions as values.

Notes

The container is created by the forecasting methods. The arguments of the constructor are not validated.

Methods

Properties

index	The index aligned to dimension 0 of the simulation paths.
residual_variances	Simulated variance of the residuals.
residuals	Simulated residuals used to produce the values.
values	The values of the process.
variances	Simulated variances of the values.