How to estimate tvp-GARCH-M

[autozhao]

Hi,
I wanna know how to estimate time-varying parameter GARCH-M model as Ray Chou,Robert F. Engle and Alex Kane,(1991)"NEASURING RISK AVERSION FROW EXCESS RETURNS ON A STOCK INDEX" mentioned.
Wether it can be doen by using state space object with Kalman filter, and how can I improve it?

Thanks a lot in advance!

[trubador]

Estimation of TVP-GARCH-M models requires a modified version of the Kalman filter. Therefore, I do not think you can do it with the State Space Object. Although LogL object is the most appropriate tool for this purpose, you may experience difficulties in handling the matrix operations of the kalman equations.

[autozhao]

thank you for your reply. There is a lot I need to learn. At least I should how to use Kalman filter and Logl now,thanks!

Estimation of TVP-GARCH-M models requires a modified version of the Kalman filter. Therefore, I do not think you can do it with the State Space Object. Although LogL object is the most appropriate tool for this purpose, you may experience difficulties in handling the matrix operations of the kalman equations.