I am going to use the ARMA-GARCH model for financial time series and was wondering whether the series should be stationary before applying the said model. I know to apply ARMA model the series should be stationary, however I'm not sure for ARMA-GARCH since I'm including GARCH errors which imply volatility clustering and non-constant variance and hence non-stationary series no matter what transformation I do.
Are financial time series usually stationary or non-stationary? I tried applying ADF test to a few volatile series and got p-value<0.01 which seems to indicate stationarity but the principle of volatile series itself tells us that the series isn't stationary.
Can somebody clear that up for me?I'm getting really confused