statsmodels.tsa.vector_ar.var_model.VARResults.forecast_cov

VARResults.forecast_cov(steps=1, method='mse')

Compute forecast covariance matrices for desired number of steps

Parameters

stepsint

Returns

covsndarray (steps x k x k)

Notes

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

Ref: Lütkepohl pp. 96-97