arch.univariate.volatility.VarianceForecast¶

class arch.univariate.volatility.VarianceForecast(forecasts: ndarray[tuple[int, ...], dtype[float64]], forecast_paths: ndarray[tuple[int, ...], dtype[float64]] | None = None, shocks: ndarray[tuple[int, ...], dtype[float64]] | None = None)[source]¶

Container for variance forecasts.

Parameters:¶

forecasts: ndarray[tuple[int, ...], dtype[float64]]¶

Array containing the forecasts.

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

Array containing the forecast paths if using simulation or bootstrap.

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

Array containing the shocks used to generate the forecast paths if using simulation or bootstrap.

Methods

Properties

forecast_paths	The variance forecast paths.
forecasts	The variance forecasts.
shocks	The shocks used to construct the variance forecast paths.