I am trying to implement ARIMA(4,0,4) - GARCH (P,Q) model in Python (the ARIMA orders were selected based on best AIC/BIC). Multiple sources suggest fitting ARIMA and GARCH simultaneously rather than serially (meaning fitting best ARIMA first and then fitting GARCH on residuals) is the right way - here is one of them.

The only Python package I found for this purpose is arch, however, for the mean model it only has following options:

  • Zero mean (ZeroMean) - useful if using residuals from a model estimated separately

  • Constant mean (ConstantMean) - common for most liquid financial

  • Autoregressive (ARX) with optional exogenous regressors

  • Heterogeneous (HARX) autoregression with optional exogenous

  • Exogenous regressors only (LS)

So no option for ARIMA mean. Is there any package for simultaneous fitting ARIMA - GARCH model in Python?

Thanks in advance!


Found workaround: great package rpy2 allows to use R packages in python (including rugarch)

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