Proc arima: how to integrate ARCH/GARCH

[lxl65]

Dear All

I am fitting an ARIMA model ( which include 1 dependent variable and 2 exogenous independent variables). However the residuals display heteroscedasticity (i.e., residuals variance not constant). I am thinking of using ARCH/GARCH approach in my model fitting, but it seems that proc arima has no ARCH/GARCH options.

I know proc autoreg has ARCH/GARCH options, but it will not help in my case, as my model has both AR and MA terms.

Can anyone suggest an approach how to integrate Proc ARIMA  and ARCH/GARCH?

Thanks a lot in advance!

[rselukar · Accepted solution]

You are correct.  PROC ARIMA does not support ARCH/GARCH type models.  Even though your problem is univariate, you could check if the GARCH statement in PROC VARMAX  satisfies your needs.