GARCH-M (1,1) state space

[Vasily]

Hello

I need to estimate the following state space GARCH-M (1,1) model:

signal: r(t) = c(1 t) + c(2 t)*r(t-1) + h(t) + eps(t), eps~N(0,h(t))
state: h(t) = c(3) + c(4)*h(t-1) + c(5)*(eps(t-1))^2
state: c(i t) = c(i t-1) + v(i t), v(i t)~N(0, (sigma(i))^2), i=1,2

But there is an error in EViews that it can't estimate a state space model with nonlinear errors in state equation (which is for "h").
How can I make this estimation in EViews?

Best regards!

[trubador]

http://forums.eviews.com/viewtopic.php?f=4&t=2769#p9297

[Vasily]

@trubador

Thanks a lot!
But can you please give me some advices how could I linearize this model? I'm not so good in econometrics, but I really need to estimate this model. Here is my e-mail if this will be needed:

akimov.vn@mail.ru

Best regards!