I'm trying to build a model to predict the volatility for a financial asset with ARIMA-GARCH model. (I use log returns as data)
I fit my ARIMA model with AIC and I did Engle’s Test to ensure there is a ARCH effect in the residuals of ARIMA model. However, the problem came after when I finished fitting my GARCH model, I implemented Engle’s Test again, and sadly, there was still ARCH effect left. So I keep tuning the parameters for my GARCH, yet it's not working.
Am I doing something wrong? If not, how can I fix the problem?
Big thank you in advance!!