BVARSVResult._predictive_noise#

BVARSVResult._predictive_noise(draw, steps, rng)[source]#

Innovations under the draw’s own forward-simulated volatility.

The log variances continue their random walk from the end of the sample with the draw’s vol-of-vol, so predictive bands widen with horizon the way drifting volatility says they must.

Return type:

NDArray[double]