ETS under estimates the coverage probabilities of the nominal 95% forecast intervals in 92% of the steps and over estimates in 8%.
The coverage probabilities of the nominal 80% forecast intervals are underestimated in 83% of the steps and are equal to 80% in 17% of the steps. ARIMA underestimates the coverage probabilities of the nominal 95% forecast intervals in 67% of
the steps, overestimates in 25% of the steps and is equal to 95% in 8% of the steps.