diff --git a/etna/models/sarimax.py b/etna/models/sarimax.py
index e6d3b7021..e517028f7 100644
--- a/etna/models/sarimax.py
+++ b/etna/models/sarimax.py
@@ -9,6 +9,7 @@
 
 import numpy as np
 import pandas as pd
+from statsmodels.tools.sm_exceptions import ValueWarning
 from statsmodels.tsa.statespace.sarimax import SARIMAX
 from statsmodels.tsa.statespace.sarimax import SARIMAXResultsWrapper
 from statsmodels.tsa.statespace.simulation_smoother import SimulationSmoother
@@ -25,6 +26,13 @@
 from etna.models.mixins import PredictionIntervalContextIgnorantModelMixin
 from etna.models.utils import select_observations
 
+warnings.filterwarnings(
+    message="No frequency information was provided, so inferred frequency .* will be used",
+    action="ignore",
+    category=ValueWarning,
+    module="statsmodels.tsa.base.tsa_model",
+)
+
 _DEFAULT_FREQ = object()