statsmodels.tsa.arima_model.ARIMAResults.forecast

ARIMAResults.forecast(steps=1, exog=None, alpha=0.05)

Out-of-sample forecasts

Parameters:

steps : int

The number of out of sample forecasts from the end of the sample.

exog : array

If the model is an ARIMAX, you must provide out of sample values for the exogenous variables. This should not include the constant.

alpha : float

The confidence intervals for the forecasts are (1 - alpha) %

Returns:

forecast : array

Array of out of sample forecasts

stderr : array

Array of the standard error of the forecasts.

conf_int : array

2d array of the confidence interval for the forecast

Notes

Prediction is done in the levels of the original endogenous variable. If you would like prediction of differences in levels use predict.