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StatsForecastARCH

API referenceSource
Categorical in XInsamplePred intPred int insampleExogenous

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)

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 ])