I guess that is not available, but you can fit MA(1)+GARCH(1,1) to the first
difference of the series using garchFit available in the (Rmetrics) fGarch
package.

-Hannu

On 10/17/07, jStat <jbawazer@stat.uiowa.edu> wrote:
>
>
> I'm searching for a function to fit a conditional mean structure (ARIMA)
> and
> a conditional variance structure (GARCH) to a data set for one model.
> Particularly, I'm trying to fit an IMA(1,1)+GARCH(1,1) model to a data
> set.
> However, I can't seem to find a function that will let me specify both the
> ARIMA and GARCH components.
> Any help would be appreciated!
> --
> View this message in context:
> http://www.nabble.com/Time-Series---Function-to-fit-ARIMA-and-GARCH-components-tf4638251.html#a13247129
> Sent from the R help mailing list archive at Nabble.com.
>
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