Hello.
What software do you recommend for time series analysis?
I'd need it to be able to perform wavelet and multifractal analysis and common statistical analysis (such as generalized linear models, multivariable regression...)

I've heard that SAS and STATA could be the most powerful ones but I don't know if I need to complement them with special software (for multifractal or wavelets) or they can do everything.
Maybe Wincats, Fractlab, wavelab, Xplore, wavbox, eviews, glmlab, Tradestation, NCSS ?
Do I have enough with Matlab + wavelet toolbox, or with Mathematica?

I prefer one that could do it all together.


ciao

Hello,

I'm not sure if it will answer to all your need, but there is a good chance that R could. It is free and very good software. High-level scientists are using it everywhere in the world. There are many packages you can download for it and the R community is very dynamic.

http://www.r-project.org/

Good Luck.

I would recommend R too. But if you're going to use advanced GARCH models then you might have a problem as there is little support on them last time I checked.Though there was a link to the Ox library and you got a hold of more models to implement.