RE: [Gretl-users] arima + arch ?

Hi Chris, To the best of my knowledge Hamilton in „Time Series Analysis“, Chapter 21 talks about the relationship between GARCH and ARMA. Hope that helps. Best regards Joerg _____ From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Chris Sent: Tuesday, 5. June 2007 5:56 PM To: Gretl list Subject: [Gretl-users] arima + arch ? is there any way to combine arima with arch? Is this a stupid question? When I run the arima stuff I get a fantastic fit to the data, but when I run the arch test it shows I definitely have an arch process. Thanks, Chris