import pandas as pd from statsmodels.tsa.statespace.sarimax import SARIMAX def sarima_forecast(data, forecast_horizon, order=(1, 1, 1), seasonal_order=(1, 1, 1, 12)): """ Forecast future values using a SARIMA model with a dynamic forecast horizon. Parameters: - data: Pandas Series of historical closing prices. - forecast_horizon: Integer specifying the number of days to forecast. - order: The (p, d, q) order of the model for the number of AR parameters, differences, and MA parameters. - seasonal_order: The (P, D, Q, s) seasonal order of the model. Returns: - Pandas Series containing the forecasted values with a datetime index. """ # Fit the SARIMA model model = SARIMAX(data, order=order, seasonal_order=seasonal_order, enforce_stationarity=False, enforce_invertibility=False) model_fit = model.fit(disp=False) # Forecast for the specified horizon forecast = model_fit.forecast(steps=forecast_horizon) # Create a pandas Series for the forecasted values with a date index future_dates = pd.date_range(start=data.index[-1] + pd.Timedelta(days=1), periods=forecast_horizon) forecast_series = pd.Series(forecast, index=future_dates) return forecast_series