Re: [R] Time Series - Function to fit ARIMA and GARCH components

I guess that is not available, but you can fit MA(1)+GARCH(1,1) to the first difference of the series using garchFit available in the (Rmetrics) fGarch package. -Hannu On 10/17/07, jStat <[EMAIL PROTECTED]> wrote: > > > I'm searching for a function to fit a conditional mean structure (ARIMA) > an

[R] Time Series - Function to fit ARIMA and GARCH components

I'm searching for a function to fit a conditional mean structure (ARIMA) and a conditional variance structure (GARCH) to a data set for one model. Particularly, I'm trying to fit an IMA(1,1)+GARCH(1,1) model to a data set. However, I can't seem to find a function that will let me specify both the