[R] R + GARCH ???

Adrian Trapletti Adrian.Trapletti at wu-wien.ac.at
Thu Oct 7 13:48:12 CEST 1999

"M. Fischer" wrote:

> Dear R-Users,
> are there any ARIMA/GARCH-packages/functions for R?

Currently, ARIMA models may be fitted with R using the ts package (is contained in
the R distribution). Another package for TSA which you can download from CRAN is
tseries. I already have a GARCH prototype for tseries, but it's too early to
release it now. It needs some more testing. I hope to finish it soon.


Adrian Trapletti, Vienna University of Economics and Business
Administration, Augasse 2-6, A-1090 Vienna, Austria
Phone: ++43 1 31336 4561, Fax: ++43 1 31336 708,
Email: adrian.trapletti at wu-wien.ac.at

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