DAX capability for forecasting and predictive modelling

Depends on what exactly you are trying to do. There are a number of measures in the Quick Measures Gallery for doing things like correlation, interpolation, etc.. I wrote this article a looooong time ago that I really should update on correlation, seasonality and forecasting in Power BI. 

https://community.powerbi.com/t5/Community-Blog/Correlation-Seasonality-and-Forecasting-with-Power-BI/ba-p/14147

Also, I have used R query script steps to integrate Azure Machine Learning with Power BI to provide predictive results to my model. What exactly are you trying to achieve?