Do you know if I can find books/other references on ARIMA and GARCH models in Excel/VBA, followingthe setup in i.e. Brooks/Alexander's book on finanancial econometrics? I know it is not the "optimal" tool (I personally use Eviews and PCGive/Ox), but the client want the routines programmed in VBA. The only book I have find (which is very good BTW) is Undergraduate Econometrics with Carter Hill (Wiley). What I would need is a description/cookbook on how to actually program more complex nonlinear routines / optimization problems in VBA following maximum likelihood estimators from i.e. GARCH models.

You may take a look at "Advanced Modelling in Finance Using Excel and VBA" by Mary Jackson and Mike Staunton

You can find many ARIMA and GARCH examples from google. I can show you some but I think you can find them yourself.c

I have a excel file named simpleGarch.xls written in German.I wish it will be helpful...

Thank you very much for the program. I also find the ref. to the ARIMA modelin Jackson & Stautons book.