Forecasting GARCH off of an Arima Model

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.

Answer 1

[azim]

hi,

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:

mathworks.com/help/econ/fit-a-composite-conditional-mean-and-variance-model-to-nasdaq-returns.html

hope this helps.