Your code works for me:
library(tidyverse)
library(tsibble)
library(fable)
# Create a tsibble
data <- data %>%
mutate(Date = yearmonth(Date)) %>%
as_tsibble(index = Date)
# Create an Arima model
arima_model <- data %>%
model(arima = ARIMA(Index))
# Generate forecasts
fc <- arima_model %>% forecast(h="1 year")
# Plot fan chart
autoplot(
fc,
data %>% slice(tail(row_number(), 12)),
level=seq(10,90,by=10),
color = 'red',
show_gap = FALSE
) +
theme(legend.position="none")
Created on 2020-09-07 by the reprex package (v0.3.0)
Perhaps try updating the fabletools
package from CRAN.