[fighterpilot]

Does it apply any kind of persistence/memory on the instantaneous exogenous variables you feed it? E.g. if you feed it the exogenous variable of "temperature right now", is it able to create a new exogenous feature "average temperature over the last three time steps"?

[em500]

No, you have to handcraft all (transformations) of exogenous features. But since it's really all linear regression, that's usually reasonably straightforward.