Hello,

I have been playing around with R as applied to Jim Hamilton's 1994 "Time Series Analysis" text.  I found at least two seemingly applicable implementations in CRAN, garch in package "tseries", and garchFit in package "fGarch".  What is a little strange, however, is that it doesn't seem to be possible to fit a simple ARCH specification (i.e. a GARCH(0,q)) that also simultaneously estimates regression coefficients as described on page 660 of Hamilton's book.  As near as I can tell "garch" has no place to specify such a regression, whereas garchFit does, but garch assumes the "p" of a GARCH(p,q) is greater than zero.

Is this a correct assessment of the capabilities of these two packages?

Thanks,
Robert Bell CFA,
Wilmington, DE


      
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