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You can use Matlab too, that, in my humble opinion, is simpler than R from a syntax point of view. The model you need for is run by the Matlab function arima that can be used with seasonality option to do what you have to do. Here you can find an example and a brief explanation of the model. Type ctrl + F and search for: "Specify a seasonal ARIMA model" ...


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I have the same problem as you. Up to my knowledge, there is no package allowing to combine seasonal ARIMA process with GARCH effects.



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