If we have obtained the residuals, then we can create a GARCH model and just estimate the variance equation, like
model = garch(1,1);
estimate(model, y);
Also, we can directly estimate an ARIMA model with GARCH errors, so that both the mean equation and the variable equation are estimated simultaneously. For example,
I ran the script below and got a very large answer. You should check my code/output as there may be a mistake (using matlab mobile and don’t have time to check it), but at least there’s no error.
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