statsmodels.tsa.vector_ar.svar_model.SVARResults.forecast_cov¶ SVARResults.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