> library(fSeries)
> da=read.table("d-geln.dat")
> absge=abs(da[,1])   % Absolute value of GE returns
> m2=armaFit(x~fracdiff(1,1),data=absge)
> summary(m2)

Title:
 ARIMA Modelling 

Call:
 armaFit(formula = x ~ fracdiff(1, 1), data = absge)

Model:
 FRACDIFF(1,1) with method: mle

Coefficient(s):
     d     ar1     ma1  
0.3564  0.3335  0.5855  

Residuals:
    Min      1Q  Median      3Q     Max 
-8.4874 -1.1035 -0.8071 -0.5884 -0.1633 

Moments: 
Skewness Kurtosis 
  -2.616   17.636 

Coefficient(s):
     Estimate  Std. Error  t value Pr(>|t|)    
d     0.35638     0.02434    14.64   <2e-16 ***
ar1   0.33353     0.03076    10.84   <2e-16 ***
ma1   0.58553     0.03801    15.41   <2e-16 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 

Description:
 Thu Apr 19 19:54:29 2007 by user: rst 

Warning message:
 Plot Method for arfima Models not yet implemented in: summary.fARMA(m2) 

Note: 
You may also use the command
m2=armaFit(x~arfima(1,1),data=absge)

The results should be the same.