title: Prediction interval in auto arima python
body: <p>I want to calculate .95 prediction interval using auto arima in python .I want to get the standard error of forecast like we can get in stats predict in R.</p>
  
  <p>Then I will use the formula - point forecast ± 1.96 * Standard error of forecast at that time t to get upper and lower bounds.</p>
  
  <p>How can I get the standard error of forecast for this in python. I am using auto arima predict for this. I know that statsmodel forecast has std error parameter to get these but I am using Auto arima predict.  Please tell me how can I get the prediction interval for 10 time steps in auto arima? The return Conf interval parameter returns very wide upper and lower range interval.  How can I get the standard error of forecasting for arima (1 0 2) order. </p>