It depends what watch you own. On most Garmin models you can indeed set up an alarm. I would tell on all of them, but cannot exclude ther is some exception. You best consult the user manual for your model, since the way to access the alarm may differ at each of them, so it is hard to give you some universal advice. The alarm can be also often set up through the Device Settings on the Garmin Connect Mobile app, or even in Garmin Connect Web Device Settings.
