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.