For modern Deep Learning based probabilistic forecasting you can try DeepAR with parametric likelihood function [0] or Multi-Horizon Quantile RNN (non-parametric) [1]. The implementations of these models in Pytorch and MXnet are scattered all over the place.

[0] https://arxiv.org/abs/1704.04110

[1] https://arxiv.org/abs/1711.11053

EDIT: formatting