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Dear Eviews Users,

I need to estimate the following equation:

Rt=B0t+B1*Rt-1+B2*Rt-2+dht+et

ht=a0+a1*ht-1+a2*ht-2+a3*e^2t-1 GARCH(1,2)

B1t=B1t-1+v1t
B2t=B2t-1+v2t

I think it is a Kalman filter with the GARCH-M model. How can I estimate it? And with which softwares?
Is it possible using Eviews for estimating?

Thanks a lot in advance!

Dear trubador,
Thanks for your answer, but I need more complete answer. It is so important for me.
Please introduce me a way or software for estimation.
Or how can linearize my model? Or how can I use extended kalman filter and particle filter?
I really need help .because I am new user of Eviwes and I have to do this estimation.

My email address is maryam.eco65@yahoo.com
if anyone knows the answer, I will appriciate If he/she send it to me.
best regards,