Seasonal GARCH

From: Spencer Graves <spencer.graves at pdf.com>
Date: 2008/04/06 Sun PM 08:38:58 CDT
To: ihernan at stat.berkeley.edu
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Seasonal GARCH

I've never used garchFit but one other possibility
is to use the fact that an ARCH model of the volatility
is the same as an AR whatever on sigma squared
, with some subtle, slight differences that I can't
recall. So, using that relation, you may be
able to use an AR ( so one of the arima functions )
but be careful because it doesn't imply EXACTLY
the same model but it's close.

I forget which text talks about the close but no cigar relation but my guess is that it's in Hamilton's or Zivot's text.