Perform the following in the Azure Console:

1. Go to Activity log
2. Click on Export
3. Configure the setting
4. Click on Save

Perform the following in Azure Command Line Interface 2.0:

Use the below command to create a Log Profile in Azure Monitoring.

az monitor log-profiles create –categories <space separated category valuesWrite|Delete| Action> –days <numberofDaysForRetention> –enabled true –location <locationName> –locations <Space separated list of regions> –name<logprofileName>

References:

1. https://docs.microsoft.com/en-us/azure/monitoring-and-diagnostics/monitoring-overview-activity-logs#export-the-activity-log-with-a-log-profile
2. https://docs.microsoft.com/en-us/cli/azure/monitor/log-profiles?view=azure-cli-latest#az_monitor_log_profiles_create