# Automated parameter selection for a GARCH model, in a similar manner to the forecast package

I was wondering: is there are a package in R for automated GARCH model selection? I'm thinking of something like what the forecast package does for ARIMA models.

If I implement this myself, would it be appropriate to just do a grid search over the possible parameters for the GARCH and ARIMA parts of the model (using the rugarch package), and select the one with the lowest AIC (or BIC)?

• Did you come up with anything interesting in the end? – Richard Hardy Mar 5 '17 at 18:48

• So could I could use the arima parameters from auto.arima in the forecast package, and just add garch(1,1) errors using rugarch? That would certainly make things simpler. – Zach Jan 5 '12 at 13:01