I use R to estimate a seasonal ARIMA(8,0,0)(5,0,1) model for the seasonal differences of logs of daily electricity prices:
daily.fit <- arima(sd_l_daily_adj$Price, order=c(8,0,0), seasonal=list(order=c(5,0,1), period=7), xreg = sd_l_daily_adj$Holiday, include.mean=FALSE)
Problem is that from all the packages I've tried, only the R's base arima function allows for the seasonal specification. Packages with GARCH estimation functions such as fGarch and rugarch only allow for ordinary ARMA(p, q) specification for the mean equation.
Any suggestions for any kind of software are welcome,