• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

ARMA Order in GARCH

Phalanx

Joined
9/29/20
Messages
1
Points
11
Hi guys,

I want to code a GARCH(1,1) forecast in R, however I am not sure wether I need to specify the ARMA Order as (1,1) in the mean model of the function.
Can I just assume a constant mean and thereby specify ARMA(0,0)?
Code would look like this:

ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = TRUE), variance.model = list(model = "sGARCH"),distribution.model = "norm")

Would this be correct also?

Best
Phalanx
 
Back
Top