arch.univariate.base.ARCHModelForecast¶

class arch.univariate.base.ARCHModelForecast(index: list[Hashable | None] | Index, start_index: int, mean: ndarray[Any, dtype[float64]], variance: ndarray[Any, dtype[float64]], residual_variance: ndarray[Any, dtype[float64]], simulated_paths: ndarray[Any, dtype[float64]] | None = None, simulated_variances: ndarray[Any, dtype[float64]] | None = None, simulated_residual_variances: ndarray[Any, dtype[float64]] | None = None, simulated_residuals: ndarray[Any, dtype[float64]] | None = None, align: 'origin' | 'target' = 'origin', *, reindex: bool = False)[source]¶

Container for forecasts from an ARCH Model

Parameters:¶

index: list[Hashable | None] | Index¶

mean: ndarray[Any, dtype[float64]]¶

variance: ndarray[Any, dtype[float64]]¶

residual_variance: ndarray[Any, dtype[float64]]¶

simulated_paths: ndarray[Any, dtype[float64]] | None = None¶

simulated_variances: ndarray[Any, dtype[float64]] | None = None¶

simulated_residual_variances: ndarray[Any, dtype[float64]] | None = None¶

simulated_residuals: ndarray[Any, dtype[float64]] | None = None¶

align: 'origin' | 'target' = 'origin'¶

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