ARIMA and GARCH work flow

Last updated on Jun 27, 2022
Code

Summary

  1. ACF and PACF plots
  2. Staionary: ADF test
  3. Fit ARIMA model
  4. Test ARCH effects usng Ljung-Box test and Engle test
  5. Fit GARCH model
  6. Forecasting
Time Series Python
Yiming Zhang
Yiming Zhang
Quantitative Researcher Associate, JP Morgan