I like to establish a confidence interval my custom-made forecasting model (not one of the standard ones in the
forecast package, which include the interval). The empirical record indicates that the forecast errors are normal distributed and thus I can take the point forecast and calculate intervals like you would do with regular normal distribution intervals:
mean +/- z * sqrt(mean squared error)
Can anybody shine some light on what the appropriate way is for treading the error when making forecasts for periods beyond the immediate future?