Mastering Python for Finance - Second Edition

Predicting and forecasting the SARIMAX model

The model_results variable is a SARIMAXResults object of the statsmodel module, representing the output of the SARIMAX model. It contains a get_prediction() method for performing in-sample prediction and out-of-sample forecasting. It also contains a conf_int() method, which returns the confidence intervals of the predictions, both lower- and upper-bounded, of the fitted parameters, which is at a 95% confidence interval by default. Let's apply these methods:

In [ ]:    n = len(df_settle.index)    prediction = model_results.get_prediction(        start=n-12*5,         end=n+5    )    prediction_ci = prediction.conf_int()

The start parameter in the get_prediction() method indicates we are performing an in-sample prediction ...