Forecasting GARCH off of an Arima Model

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Sherien Hassan
Sherien Hassan on 6 May 2020
Answered: azim on 8 Jun 2020
Hello! I am trying to do a garch model off of a preexsisting arima model. I know how to do them seperatly, but I am unsure how to save my arima in a way that I could reuse it when modeling garch. I am using the econometric modeler app.

Answers (1)

azim on 8 Jun 2020
i dont know if this helps but do you mean that you want to estimate a conditional mean and variance model. for eg. something like this:
VarMdl = garch(1,1)
Mdl = arima('ARLags',1,'Variance',VarMdl)
EstMdl = estimate(Mdl,r);
if yes you can read it on the link:
hope this helps.




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