1
$\begingroup$

The model ARIMA+GARCH writing as this form with the rugarch package in R:

spec=ugarchspec(variance.model=list(garchOrder=c(1,1)),
                            mean.model=list(armaOrder=c(2,1)))

My Question: How to write in case if the model SARIMA+GARCH in R?

Where SARIMA model:

Model <- Arima(data,order=c(2,1,2),seasonal=list(order=c(1,0,0),12))

$\endgroup$
1
$\begingroup$

If you are using the "rugarch" package in R, you can include these terms via the argument external.regressors within the argument mean.model in the ugarchspec function.

From CRAN:

external.regressors A matrix object containing the external regressors to include in the mean equation with as many rows as will be included in the data (which is passed in the fit function).

For further reference: https://otexts.com/fpp2/seasonal-arima.html

$\endgroup$
  • $\begingroup$ Thank you very much. $\endgroup$ – Remal Aug 29 at 4:10
  • $\begingroup$ I don' think that works because SARIMA does not contain external regressors. SARIMA is actually an ARIMA with coefficient restrictions. I am not aware of an R package that allows estimating SARIMA+GARCH models. $\endgroup$ – Richard Hardy Sep 13 at 9:19

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.