I suggest you look into the GARCH package for Ox. It is free, and
quite complete. Version 2.0 just came out and includes forecasts.
The available models are ARCH, GARCH, EGARCH, GJR, APARCH, IGARCH,
FIGARCH, FIEGARCH and FIAPARCH. Point your browser to
http://www.egss.ulg.ac.be/garch/
Good luck.
Francisco
> URGENT!!!
> Please, could any one advise me about which is the best package
> to use ARCH/GARCH analysis of financial time series. Would it be
> the TSeries or the dse/Multivariate time series packages. Or any
> other? Which is best? Thank you
>
> CJoseBento
> Universidade Nova de Lisboa
> Portugal
--
Francisco Cribari-Neto voice: +55-81-32718420
Departamento de Estatistica fax: +55-81-32718422
Universidade Federal de Pernambuco e-mail: cribari at de.ufpe.br
Recife/PE, 50740-540, Brazil http://www.de.ufpe.br/~cribari
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get a Hilbert space out of it! --William Feller
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