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Richard Hardy
Richard Hardy
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fitting Fitting ARIMA-GARCH model using rugarch"rugarch" package

I try to fit a model to forecast tourist'stourists' arrivals in Sri Lanka.I I fitted a SARIMA(3,1,3)(1,0,1)12 model to forecast tourist's arrivalsfirst.Also I was also trying to fit ARIMA-GARCH model using ruGarch"rugarch" package in R., but I lookedit looks that the only possible fitting model in ruGarchthat package is ARMA-GARCH. myMy questions are, 1)Is there any possibility to fit ARIMA-GARCH model on ruGarch package?(Since my best fitted model is SARIMA I think ARMA-GARCH model will not fit to my data) 2)Is there any evidance to fit ARMA_GARCH model in differenced data?(because my data is stationary when taking first difference)

  1. Is there any possibility to fit ARIMA-GARCH model in "rugarch" package? (Since my best fitted model is SARIMA I think ARMA-GARCH model will not fit to my data.)
  2. Is there any evidence to fit ARMA-GARCH model on differenced data? (Because my data is stationary after taking first differences.)

fitting ARIMA-GARCH model using rugarch package

I try to fit a model to forecast tourist's arrivals in Sri Lanka.I fitted a SARIMA(3,1,3)(1,0,1)12 model to forecast tourist's arrivals.Also I was trying to fit ARIMA-GARCH model using ruGarch package in R. but I looked only possible fitting model in ruGarch package is ARMA-GARCH. my questions are, 1)Is there any possibility to fit ARIMA-GARCH model on ruGarch package?(Since my best fitted model is SARIMA I think ARMA-GARCH model will not fit to my data) 2)Is there any evidance to fit ARMA_GARCH model in differenced data?(because my data is stationary when taking first difference)

Fitting ARIMA-GARCH model using "rugarch" package

I try to fit a model to forecast tourists' arrivals in Sri Lanka. I fitted a SARIMA(3,1,3)(1,0,1)12 model first. I was also trying to fit ARIMA-GARCH model using "rugarch" package in R, but it looks that the only possible model in that package is ARMA-GARCH. My questions are,

  1. Is there any possibility to fit ARIMA-GARCH model in "rugarch" package? (Since my best fitted model is SARIMA I think ARMA-GARCH model will not fit to my data.)
  2. Is there any evidence to fit ARMA-GARCH model on differenced data? (Because my data is stationary after taking first differences.)
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Hansanie
Hansanie
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fitting ARIMA-GARCH model using rugarch package

I try to fit a model to forecast tourist's arrivals in Sri Lanka.I fitted a SARIMA(3,1,3)(1,0,1)12 model to forecast tourist's arrivals.Also I was trying to fit ARIMA-GARCH model using ruGarch package in R. but I looked only possible fitting model in ruGarch package is ARMA-GARCH. my questions are, 1)Is there any possibility to fit ARIMA-GARCH model on ruGarch package?(Since my best fitted model is SARIMA I think ARMA-GARCH model will not fit to my data) 2)Is there any evidance to fit ARMA_GARCH model in differenced data?(because my data is stationary when taking first difference)