Message-ID: <401FDA3F.7060209@bluewin.ch>
Date: 2004-02-03T17:28:31Z
From: Adrian Trapletti
Subject: 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
> [[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
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Switzerland
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