Re: [R] How to build a AR(q)-GARCH(q) process ?

In the absence of a function that will estimate a joint AR-GARCH model, you can estimate them separately. So you could estimate the AR parameters and then estimate GARCH on the residuals from the AR model. I know that MA parameter estimates are quite robust to GARCH. I don't know for sure that AR

Re: [R] How to build a AR(q)-GARCH(q) process ?

Hello all, I would like how to modelized a time serie with AR-ARCH process. It can be used arma and garch functions in tseries package for build ar process or a garch process, but how can it be modelized a ar-garch model ? Thanks [[alternative HTML version deleted]] For example, foll

[R] How to build a AR(q)-GARCH(q) process ?

Hello all, I would like how to modelized a time serie with AR-ARCH process. It can be used arma and garch functions in tseries package for build ar process or a garch process, but how can it be modelized a ar-garch model ? Thanks [[alternative HTML version deleted]] _