I'm trying to forecast a time series of a stock option using ARMA-GARCH modelling in R. First I determine the ARMA order using AIC and I found (0,1) to be the best one.
But when I run
I get constant mean forecasts.
Whereas when I use ARMA(1,1):
I get variables mean forecasts. Does anyone know why is that?
How do I forecast the actual prices of the stock (not its variance)?