Forecasting with VAR and VECM

[sunmy]

Hi, I am doing a out of sample forecast with VAR and VECM with stochastic simulation.

I want to get the bounds with interval size 0.95, 0.90, 0.70 and 0.50 to make a fan chart.

But when I examine the forecaset with each interval size, the baseline show a slighly different output.

To do a forecast with various intervals with same baseline and make a fan chart, what shold I do?

[KrilleJ]

Should you expect the same value when you do simulations?

Could you use the mean over the various baselines?

/K