Francisco Cribari cribari at de.ufpe.br
Wed May 16 11:31:50 CEST 2001

I suggest you look into the GARCH package for Ox. It is free, and 
quite complete. Version 2.0 just came out and includes forecasts. 
The available models are ARCH, GARCH, EGARCH, GJR, APARCH, IGARCH,
FIGARCH, FIEGARCH and FIAPARCH. Point your browser to 


Good luck. 


> Please, could any one advise me about which is the best package 
> to use ARCH/GARCH analysis of financial time series.  Would it be 
> the TSeries or the dse/Multivariate time series packages. Or any 
> other? Which is best? Thank you
> CJoseBento
> Universidade Nova de Lisboa
> Portugal                  

Francisco Cribari-Neto               voice: +55-81-32718420
Departamento de Estatistica          fax:   +55-81-32718422
Universidade Federal de Pernambuco   e-mail: cribari at de.ufpe.br
Recife/PE, 50740-540, Brazil         http://www.de.ufpe.br/~cribari

  I could stare all my life at a symmetric matrix, I would never
  get a Hilbert space out of it!                --William Feller                

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