I'd like to fit a non stationary time series using a SARIMA + GARCH model. I have not found any package that allow me to fit this model.
model=ugarchspec( variance.model = list(model = "sGARCH", garchOrder = c(1, 1)), mean.model = list(armaOrder = c(2, 2), include.mean = T), distribution.model = "sstd") modelfit=ugarchfit(spec=model,data=y)
but it allow me only to fit an ARMA + GARCH model.
Can you help me?