title: Quantile Regression with Time-Series Models (ARIMA-ARCH) in R
body: <p>I am working on quantile forecasting with time-series data. The model I am using is ARIMA(1,1,2)-ARCH(2) and I am trying to get quantile regression estimates of my data.</p>
  
  <p>So far, I have found "quantreg" package to perform quantile regression, but I have no idea how to put ARIMA-ARCH models as the model formula in function rq.
  rq function seems to work for regressions with dependent and independent variables but not for time-series.</p>
  
  <p>Is there some other package that I can put time-series models and do quantile regression in R? Any advice is welcome. Thanks.</p>