remigijus,
you can always use the drop-down sub-menu item "ARCH" or "GARCH" from the menu item 'model' in the toolbar of the main gretl window.
Hope This is useful.
Samrat

On Thu, Dec 2, 2010 at 2:23 PM, Remigijus Lapinskas <remigijus.lapinskas@mif.vu.lt> wrote:
Dear All,

How can one generate ARCH or GARCH process in gretl?

Thank you,
Remigijus
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Thanks and Regards,
Samrat Sanyal