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I was trying to implement SARIMA+GARCH(1,1) on R, but there is no option in fGarch to do that. Hence, I run GARCH on residuals from SARIMA, and it worked well. However, I don't know how to implement both results on my forecast 6 n.ahead in R. The expected value would be the same theorically, but the Confidence Intervals would change. Could you provide some explanation, and the code? Thank you.

Javier Moreno Sepena
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  • SARIMA is just a restricted ARIMA. As far as I can tell, fGarch allows ARMA in the mean but no restrictions. rugarch allows both, so you could just use that. Also, you mean prediction interval, not confidence interval. – Chris Haug Dec 09 '21 at 23:40
  • Perhaps this will be of some relevance. It does not provide any code, though. – Richard Hardy Dec 10 '21 at 17:40

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