[Gretl-users] arima + arch ?

[Jörg Rauh]

Hi Chris,

 

To the best of my knowledge Hamilton in „Time Series Analysis“,

Chapter 21 talks about the relationship between GARCH and ARMA.

Hope that helps.

 

Best regards

 

Joerg

 

  _____  

From: gretl-users-bounces at lists.wfu.edu
[mailto:gretl-users-bounces at lists.wfu.edu] On Behalf Of Chris
Sent: Tuesday, 5. June 2007 5:56 PM
To: Gretl list
Subject: [Gretl-users] arima + arch ?

 

is there any way to combine arima with arch? Is this a stupid question? When
I run the arima stuff I get a fantastic fit to the data, but when I run the
arch test it shows I definitely have an arch process.

 

Thanks,

 

Chris

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