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) > 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 > ARIMA and GARCH components. > Any help would be appreciated! > -- > View this message in context: > http://www.nabble.com/Time-Series---Function-to-fit-ARIMA-and-GARCH-components-tf4638251.html#a13247129 > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > [[alternative HTML version deleted]] ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
