modell time series with AR-Garch modell

----- 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