Pellegrini, Santiago; Ruiz, Esther; Espasa, Antoni - In: International Journal of Forecasting 27 (2011) 2, pp. 308-319
Differencing is a very popular stationary transformation for series with stochastic trends. Moreover, when the differenced series is heteroscedastic, authors commonly model it using an ARMA-GARCH model. The corresponding ARIMA-GARCH model is then used to forecast future values of the original...