I used the R package ‘rugarch’ to implement an ARMAX-GARCH model and now I want to try to implement it with suanshu JAVA library.
First, I want to implement an ARMAX model and fit parameters of this model. This will give me the ARMAX prediciton
Secondly I want to implement an GARCH model and fit parameters on the residual timeseries of first step. This will give me Variance of the predicition.
Even if the estimation is less efficient than with ‘rugarch’ package, it should be a reasonable way to do what I want (according to this topic : http://stats.stackexchange.com/questions/143035/the-use-of-garch/143040#143040 )
My question is:
Is it possible to fit ARMAX model by CSS. Reading the Javadoc it doesen’t seem to be.