R help - Feb 2004 - 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
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>
>
>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, follow "A.A.Weiss: ARMA models with ARCH errors. Journal of 
Time Series Analysis, No. 2, Vol. 5, 1984."

best
Adrian

-- 
Dr. Adrian Trapletti
Trapletti Statistical Computing
Wildsbergstrasse 31, 8610 Uster
Switzerland
Phone & Fax : +41 (0) 1 994 5631
Mobile : +41 (0) 76 370 5631
Email : mailto:a.trapletti at bluewin.ch
WWW : http://trapletti.homelinux.com

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 is as well, but I suspect so.

Patrick Burns

Burns Statistics
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

M. M. Palhoto N. Rodrigues wrote:
>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]]
>
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