Forecaster

StatsForecastGARCH

Categorical in XInsamplePred intPred int insampleExogenous

StatsForecast GARCH estimator.

Quickstart

python

from sktime.forecasting.arch import StatsForecastGARCH

estimator = StatsForecastGARCH(p=1, q=1)

Parameters(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.

Examples

>>> 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 ])