[R] ARMA models with ARCH errors?

[Ajay Shah]

In R, I see support for ARCH models and for ARMA models (in the
tseries package). How would we estimate the workhorse model where
stock returns are ARMA with ARCH errors?

I am aware of the paper by Andy Weiss. I have used this model quite a
bit using stata and consider it a staple. I couldn't find mention of
it in the tseries library.

-- 
Ajay Shah                                                   Consultant
ajayshah at mayin.org                      Department of Economic Affairs
http://www.mayin.org/ajayshah           Ministry of Finance, New Delhi