There's been recent advances in joint fitting of multi-output regression forests ("vector leaf"): https://xgboost.readthedocs.io/en/stable/tutorials/multioutput

There's been recent advances in joint fitting of multi-output regression forests ("vector leaf"): https://xgboost.readthedocs.io/en/stable/tutorials/multioutput.html#training-with-vector-leaf https://xgboost.readthedocs.io/en/stable/tutorials/multioutp... In theory, this might suit the multi-step forecast use case.