How to Build AR-GARCH Model in Eviews, R or Matlab? Please elaborate the process how to approach it with one of the software package. Thanks in advanced.

matlab should have an example in the manual. I am almost certain they do for AR-GARCH

i wish i had a matlab license .... i don't think it exists any special R library/function to estimate a joint AR-Garch model.but, you can :1) estimate the AR parameters2) estimate the GARCH part of your model on the residuals from the AR modelthere must be various R packages you can use for that, e.g the tseries packageto learn a great deal on the modeling of garch and garch-extended models with R, i would recommend :Modelling Financial Time Series with S-PLUS, Eric Zivot and Jiahui Wang.it is a little bit old, but it is rock-solid explanation + model implementation IMOhope this help