EViews.com

Hi everybody i need your help i have to estimate :



Where i have to estime : lambda, omega,beta,alpha,gamma and zt--> N(0,1)

Is there a way to do it without write a code, but directly in eviews ?

i do not know how to proceed, could i first estimate a garch on rt and then make resid and garch a serie ?

then i generate series sigma^2 using garch then sigma^2t+1 and sigma_t

but i donc know how to have a parameter value for gamma, this is the second part of the conditional variance that i don't know to deal with

thanks for help (sorry for english ;) )

This looks similar to a GARCH in mean (GARCHM) but I suppose you have to write out the likelihood to estimate this in eviews.