r - rugarch fitting ARIMA (non stationary series)

Question

I want to analyze asset prices directly (not their returns) using ARIMA-GARCH model. Since the time series I have is stationary only if integrated once, I need an ARIMA (p,1,q) model.

Using rugarch though I cannot find how to specify an integration order 1 for my series. Using the following for example

spec <- ugarchspec(variance.model = list(model="sGARCH", garchOrder=c(1,1)), 
                   mean.model = list(armaOrder=c(1,1,0)) 
                   distribution.model = "norm") 

gives me an ARMA(1,1) (or specifically ARFIMA(1,0,1). If I use :

   spec <- ugarchspec(variance.model = list(model="sGARCH", garchOrder=c(1,1)), 
                       mean.model = list(armaOrder=c(1,1,1), arfima = T), 
                       distribution.model = "norm") 

will give me ARMA(1,1) and another variable ARFIMA with a coefficient, which to be sure I don't understand and in both cases I have a big mu (which is the mean of the price) which I understand - but that means that the series it's not integrated.

Is it possible to integrate series using ugarchspec?

question from:https://stackoverflow.com/questions/66054968/rugarch-fitting-arima-non-stationary-series

Answer 1

Waitting for answers