Estimating the Expected Inflation

[vvadarevu]

I am implementing a Vector Error Correction Model (VECM) to analyse the determinants of inflation in India. One of the variables in the Cointegrating Equation is the "expected inflation". I have the time series data of CPI (Industrial Workers) for India from 1971M1 to 2022M1. The way authors have estimated the time series of expected inflation is the following

"It is computed by obtaining 3-month ahead ARIMA/ARIMA-GARCH forecasts of the CPI inflation. Forecasts are made recursively by updating and reestimating the model starting from 1991M4."

Can someone guide me on implementing this ? I really need some help.

Thanks
Vinay