In R, I see support for ARCH models and for ARMA models (in the tseries package). How would we estimate the workhorse model where stock returns are ARMA with ARCH errors?
I am aware of the paper by Andy Weiss. I have used this model quite a bit using stata and consider it a staple. I couldn't find mention of it in the tseries library. -- Ajay Shah Consultant [EMAIL PROTECTED] Department of Economic Affairs http://www.mayin.org/ajayshah Ministry of Finance, New Delhi ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
