[R-SIG-Finance] (no subject)

[4dscape.com]

Look at the documentation for ugarchspec in the rgarch package. The option 'arfima' (TRUE/FALSE) is documented and rather self explanatory.

Regards,
-Alexios

On Jul 19, 2011, at 4:10, Amjad Ali <amjadali_ktk at yahoo.com> wrote:

> Hi 
> In the rgarch package I could not find the codes for simultaneous fitting of 
> Autoregressive fractionally integrated Moving average model with GARCH errors 
> i.e ARFIMA(p,d,q)-GARCH(r,s) model.in fGarch package the codes for fitting 
> arma(p,q)-GARCH(r,s) is available but not for ARFIMA(p,d,q)-GARCH(r,s) . Please 
> help in this regrad
> 
> 
> Regards 
> 
> Amjad Ali 
> 
> 
> 
> 
> ________________________________
> From: soren wilkening <me at censix.com>
> To: r-sig-finance at r-project.org
> Sent: Mon, July 18, 2011 11:52:18 PM
> Subject: Re: [R-SIG-Finance] (no subject)
> 
> You could use the 'rgarch' package. Does everything you want and more. (of
> course there are alternatives as well)
> Soren
> 
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