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  • $\begingroup$ You can use an ARMA-GARCH model. Matlab has standard garchfit tool for this. When you normalize the residuals with the estimated variances you get standardized residuals for each data point. $\endgroup$ Commented Mar 23, 2015 at 17:50
  • $\begingroup$ What if I do not want to add AR and MA lags? I am running a set of dummies on a vector of data and want to include GARCH terms, $\endgroup$ Commented Apr 9, 2015 at 8:32
  • $\begingroup$ ARMA terms are used to estimate the mean. GARCH terms are used to estimate the variance. They help each other to estimate better. i.e. if you don't subtract the mean the variance estimate will not be accurate and if you don't use the error variance estimation of mean is not efficient. If you are estimating the mean via some other exogenous variables that should also do fine. $\endgroup$ Commented Apr 9, 2015 at 11:36