statsmodels.tsa.vector_ar.var_model.VARResults.forecast_interval#
- VARResults.forecast_interval(y, steps, alpha=0.05, exog_future=None)#
Construct forecast interval estimates assuming the y are Gaussian
- Parameters:
- y
ndarrayorNone The initial values to use for the forecasts. If None, the last k_ar values of the original endogenous variables are used.
- steps
int Number of steps ahead to forecast
- alpha
float,optional The significance level for the confidence intervals.
- exog_futurearray_like,
optional Forecast values of the exogenous variables. Should include constant, trend, etc. as needed, including extrapolating out of sample.
- y
- Returns:
ForecastIntervalA result object with fields:
- point_forecastndarray
Mean value of forecast
- forc_lowerndarray
Lower bound of confidence interval
- forc_upperndarray
Upper bound of confidence interval
Notes
Lütkepohl pp. 39-40