A quick example of how to specify and estimate an ARIMA model for an asset return, with a GARCH variance prediction equation in Stata.
Using the Corrgram command in Stata:
https://youtu.be/GJukJBfImg0
Out-of-sample forecasting in Stata:
https://youtu.be/zi4P3KiMWWY
Recommended Textbook Link
Introductory Econometrics for Finance by C. Brooks
https://amzn.to/2YJc2Tu
My Twitter is:
https://twitter.com/MichaelRJonas