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How can I run the model in LogL?

thanks

thanks QMS Gareth , Gene

I will try it by the way you told me.

φ0 and φ1 are coeffients but σt2 is conditional variance so the term (φ0 + φ1σt2) Rit-1 is (coefficient + coefficient * conditional variance) * Rit-1 I try to use ARCH-M menu when I run equation using GARCh model but it only put the term " σt2 " in my equation, I dont know how to put this ...

Hi ,

I would like to ask how can I run this equation

Rit = α + µσt2 - (φ0 + φ1σt2) Rit-1 + εt

the model use GARCH(1,1) with GED

I try to put it in the mean equation but dont know how to
deal with "φ0 + φ1σt2) Rit-1" term

Thanks in advanc