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StatsForecastARCH

API referenceSource
In-sample predictionsPrediction intervalsIn-sample prediction intervals

StatsForecast ARCH estimator.

Direct interface to statsforecast.models.ARCH.

This implements the Autoregressive Conditional Heteroskedasticity (ARCH) model.

Constructs an ARCH(p) model.

Quickstart

python
from sktime.forecasting.arch import StatsForecastARCH

estimator = StatsForecastARCH(p=1)

Tags

Capabilities

  • In-sample predictions: Supported
  • Prediction intervals
  • In-sample prediction intervals: Supported
  • Categorical features: Not supported
  • Missing values: Not supported
  • Exogenous variables: Not supported
  • Multivariate: Not supported

Properties

Needs forecast horizon in fitrequires-fh-in-fit
No
X and y need the same indexX-y-must-have-same-index
Yes

Parameters(1)

p: int (default 1)
AR parameter - number of auto-regressive lags.

Examples

>>> from sktime.datasets import load_airline
>>> from sktime.forecasting.arch import StatsForecastARCH
>>> y = load_airline ()
>>> forecaster = StatsForecastARCH (p = 2)
>>> forecaster. fit (y) StatsForecastARCH(
... )
>>> y_pred = forecaster. predict (fh = [1, 2, 3 ])