VARProcess.forecast_interval()

statsmodels.tsa.vector_ar.var_model.VARProcess.forecast_interval

VARProcess.forecast_interval(y, steps, alpha=0.05) [source]

Construct forecast interval estimates assuming the y are Gaussian

Returns:	(lower, mid, upper) : (ndarray, ndarray, ndarray)

Notes

Lutkepohl pp. 39-40