Hello,
I'm quite new to R but tried to learn as much as possible in the last
few months.
My problem is that I would like to estimate the model of Leon et al. (2005).
I have shortly summarised the most important equations in the following
pdf file:
http://hannes.fedorapeople.org/leon2005.pdf
My main question is now how could I introduce these two additional terms
into the Likelihood function of a(n) (existing) GARCH method.
I looked into some GARCH packages but wasn't really sure where to start.
I know that this is not really an easy task but I would be very grateful
if you could help me out by giving me some hints on how to solve this
problem.
Thanks in advance!
Johannes Lips
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