I am doing a time series forecast with the SARIMA-model in STATA. I wanted to calculate the MSE to set up confidence intervals for my prediction. I have done that using the following command:

predict MSE, mse dynamic(tm(2022m5))

STATA then generates a new variable of course with the MSE in it. Now I am wondering why the MSE is not similar for each observation. It is about roughly the same value for all observations of one year with some exceptions. It heavily differs for different years though.

For me (if i have not fundamentally misunderstood the concept of MSE) it just does not make sense to have different values for the MSE for each observation.

I would apreciate any help.