arch.univariate.base.ARCHModelForecastSimulation¶
- class arch.univariate.base.ARCHModelForecastSimulation(index: list[Label] | pd.Index, values: Float64Array | None, residuals: Float64Array | None, variances: Float64Array | None, residual_variances: Float64Array | None)[source]¶
Container for a simulation or bootstrap-based forecasts from an ARCH Model
- Parameters:¶
Methods
Properties
The index aligned to dimension 0 of the simulation paths
Simulated variance of the residuals
Simulated residuals used to produce the values
The values of the process
Simulated variances of the values