TSM is a Windows package running under the Ox matrix language, with front end supplied by the Java JRE. Time Series Modelling 4 is a comprehensive package for linear and nonlinear time series modelling. It will estimate and forecast ARIMA and ARFIMA models, several GARCH, FIGARCH, APARCH and EGARCH variants, bilinear models, Markov-switching and smooth transition models. Most model features can be freely combined, and a flexible and intuitive formula-coding feature allows virtually any model to be set up.
Ox Console, like TSM, is free for educational and research applications.