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#5614
Ryu
Member

Here is what we/SuanShu suggests:

1.
Determine the lags (p and q) of the ARMA process and fit an ARMA(p, q) model. This is done by the usual ARMA fitting procedure., e.g., ConditionalSumOfSquares
2.
Select a suitable set of orders (P, Q) for the GARCH process. We can do this by looking at the PACF and ACF of the squared residuals and possibly use Ljung-Box test.
3.
Fit a pure GARCH(P, Q) model to the residuals using conditional MLE.
4.
Diagnostic checks.

You can do all steps 1 – 4 in SuanShu by calling the appropriate classes.