statsmodels.tsa.vector_ar.var_model.VARResults.forecast_cov¶

VARResults.forecast_cov(steps=1)[source]¶

Compute forecast covariance matrices for desired number of steps

Parameters:	steps : int
Returns:	covs : ndarray (steps x k x k)

Notes

$\Sigma_{\hat y}(h) = \Sigma_y(h) + \Omega(h) / T$

Ref: Lutkepohl pp. 96-97