How to build a AR(q)-GARCH(q) process ?
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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