# Forecasting two part ARIMA-GARCH model

I am conducting the ARIMA-GARCH model in two stages. First, I assess the ARIMA model and then apply GARCH model on the residuals from the ARIMA model. My model looks like this:

library(rugarch)
arima_model <- arima(data, order = c(1,0,1), include.mean = FALSE)
garchSpec <- ugarchspec(variance.model = list(model = "sGARCH",
garchOrder = c(1,1)),
mean.model = list(armaOrder = c(0,0), include.mean = FALSE),
distribution.model = "sstd")
garchFit <- ugarchfit(spec = garchSpec, data = arima_model\$residuals)


I want to make a forecast the data 12 points ahead. I've only seen forecasting ARIMA-GARCH models when ARIMA is already included in mean.model. But I can't do that. So, how do I forecast if ARIMA is not included in mean.model?

• I want a point forecast. But forecasting only from ARIMA doesn't make any sense - why would I then estimate GARCH part? – Vesnič Sep 23 '20 at 11:41