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

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From: gretl-users-bounces@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