On Thu, June 8, 2006 03:45, sudip mukherjee wrote: at present, the only way you have in gretl to estimate an arma model with garch variance is to use the "mle" command. Section 10.4 in the manual reports an example with a garch(1,1) model. A simple adaptation of that example follows: open djclose series y = 100*ldiff(djclose) scalar mu = 0.0 scalar omega = 1 scalar alpha = 0.4 scalar beta = 0.0 scalar phi = 0.0 scalar theta = 0.0 mle ll = -0.5*(log(h) + (e^2)/h) series e = 0 series e = y - mu - phi*y(-1) - theta*e(-1) series h = var(y) series h = omega + alpha*(e(-1))^2 + beta*h(-1) params mu phi theta omega alpha beta end mle Clearly, this is going to "feel" slower than a builtin command, but it should get the job done. Riccardo "Jack" Lucchetti Dipartimento di Economia Facoltà di Economia "G. Fuà" Ancona