Hello everyone. I have an interest in fitting jump diffusion AR(p) processes (which will likely form part of a Garch model). Does anyone know of some R code that will allow this please, hopefully using max likelihood (or similar) methods? I'm currently using WinBUGS and RWinBUGS to utilise a Bayesian approach but my dataset is quite large (n=17,000 being half-hourly electricity prices for a year) and, not surprisingly, the routines have issues with execution time and program stability. Many thanks, Ross Bowden, Synergy Energy, Perth, Western Australia.