# SARIMA+GARCH model

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))

• So... at the end, how did you solve it? Did you use SARIMA residuals into the GARCH specification with armaOrder=c(0,0) ? Apr 3 '21 at 0:24

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.
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).