arch.univariate.volatility.VarianceForecast¶

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

Container for variance forecasts

Parameters:¶

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

Array containing the forecasts

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

Array containing the forecast paths if using simulation or bootstrap

shocks: ndarray[Any, 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