Hot answers tagged garch
You are right - GARCH model models volatility. They write: " The GARCH  can be used to model changes in the variance of the errors as a function of time." What people often do is to fit an ARIMA model (that can be used to forecast a time series) and apply a GARCH model to the errors (which gives you a feeling for the forecast error). See Hyndman and ...
You first fit a ARIMA model to the returns data and then a GARCH model to the residuals.
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