I am new to time series forecasting problems. I did research on what are the different models available for forecasting multi variate time series models but ended up finding only VAR, VARMA models. I would like to know other different algorithms if there are any. Thanks in advance.
Yes, ARIMA is a great place to start. The tutorial here is very good. It makes heavy use of the statsmodels package. It's not as simple to get started with as linear regression models, but based on your question I think it will be a good place for you to start.