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ARMA Order in GARCH

Phalanx

New Member
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
 
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