Forecaster
StatsForecastGARCH
StatsForecast GARCH estimator.
Direct interface to statsforecast.models.GARCH.
This implements the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model.
Constructs a GARCH(p, q) model.
Schnellstart
python
from sktime.forecasting.arch import StatsForecastGARCH
estimator = StatsForecastGARCH(p=1, q=1)Parameter(2)
- p: int (default 1)
- AR parameter - number of auto-regressive lags.
- q: int (default 1)
- GARCH heteroskedasticity lag parameter - number of lags for variance term.
Beispiele
>>> from sktime.datasets import load_airline
>>> from sktime.forecasting.arch import StatsForecastGARCH
>>> y = load_airline ()
>>> forecaster = StatsForecastGARCH (p = 2, q = 1)
>>> forecaster. fit (y) StatsForecastGARCH(
... )
>>> y_pred = forecaster. predict (fh = [1, 2, 3 ])