I am trying to messure volatility of return on stock index by using GARCH(1,1) but the ARCH-LM test results show that there is ARCH effect in the residuals after fitting GARCH(1,1). I used ARIMA for the mean equation. I also tried GARCH(1,2) and GARCH(2,1) but there is still ARCH effect. How can I solve this problem in Stata? Great thanks to any help!
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