[R] R function to fit ARCH and GARCH models

Is there any R function to fit ARCH and GARCH models for univariate time series and to select the best model?   Sajeeka Nanayakkara [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo

Re: [R] R function to fit ARCH and GARCH models

Use the rugarch package - it's great, high quality. On Mon, Aug 13, 2012 at 10:17 AM, Sajeeka Nanayakkara nsaje...@yahoo.comwrote: Is there any R function to fit ARCH and GARCH models for univariate time series and to select the best model? Sajeeka Nanayakkara [[alternative HTML

Re: [R] R function to fit ARCH and GARCH models

Indeed -- many of them (find a recent post on Pat Burns Portfolio Probe blog for a comprehensive discussion) -- also see rugarch. Michael On Aug 13, 2012, at 8:17 AM, Sajeeka Nanayakkara nsaje...@yahoo.com wrote: Is there any R function to fit ARCH and GARCH models for univariate time