R help - May 2003 - modell time series with AR-Garch modell

Hi R-community!

Is there a possibility in R to model a time series with a so called AR-GARCH
process? AR-GARCH is a composite modell consisting of an autoregressive
process with an GARCH error term.

Thanks in advance
Marc

----- Original Message -----
From: "Marc Schroeder" <marc.schroeder at iaew.rwth-aachen.de>
To: "R-help at lists.R-project.org" <R-help at
stat.math.ethz.ch>
Sent: Tuesday, May 20, 2003 10:45 AM
Subject: [R] modell time series with AR-Garch modell

> Hi R-community!
>
> Is there a possibility in R to model a time series with a so called
AR-GARCH
> process?
Not in one step. What can be done is modelling the time series with the
function AR from ts in the first step and then modelling the residuals from
the first step with the function GARCH from tseries.
>AR-GARCH is a composite modell consisting of an autoregressive
> process with an GARCH error term.
>
> Thanks in advance
> Marc
>
best
Adrian