You are interested in prediction intervals (applicable to outcomes of a random variable) rather than confidence intervals (applicable to parameters or their combinations), I presume.
Add Month
as an external regressor to the mean equation when specifying the GARCH model. I am not sure whether garchFit
has the functionality, but ugarchspec
and ugarchfit
from the rugarch
package certainly do. In the function ugarchspec
, there is an argument external.regressors
within mean.model
for putting Month
into. See the documentation.
Alternatively, just add the fitted values from ymod1
to each end of the prediction intervals that you have obtained for the GARCH model on the residuals from ymod1
.