Dear John,
Thanks for your prompt response. But I can't get "rmgarch" package. Rather
I got some package, "rugarch", in my search to "rmgarch". This package
(rugarch), however, does not solve  my problem. My question specifically is
to estimate and simulate model like:

x_t = A1*x_{t-1} + A2*x_{t-2} + ... + Ap*x_{t-p} + error

allowing garch effect in the error term(my data looks hetroskedastic).

Thanks





On Mon, Mar 5, 2012 at 1:46 PM, John Kerpel <john.kerpel@gmail.com> wrote:

> See the rmgarch package.
>
> On Mon, Mar 5, 2012 at 6:09 AM, mamush bukana <mamushbukana@gmail.com>wrote:
>
>> Dear list,
>> Can one suggest me if there is an R function/package to estimate and
>> simulate vector autoregressive (VAR) model allowing for the GARCH effect
>> please?
>>
>> Thanks
>>
>> Mamush
>>
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>>
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>
>

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