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

Patrick Burns pburns at pburns.seanet.com
Tue Feb 3 20:46:10 CET 2004

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
(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 ?
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