arch.univariate.base.ARCHModelForecastSimulation¶

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

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

Parameters:¶

index: list[Hashable | None] | Index¶

values: ndarray[Any, dtype[float64]] | None¶

residuals: ndarray[Any, dtype[float64]] | None¶

variances: ndarray[Any, dtype[float64]] | None¶

residual_variances: ndarray[Any, dtype[float64]] | None¶

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