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.
Hannu Kahra
2007-Oct-17 05:14 UTC
[R] Time Series - Function to fit ARIMA and GARCH components
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 <jbawazer@stat.uiowa.edu> 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. > > ______________________________________________ > R-help@r-project.org 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]]