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Estimate conficients of Garch-M model

Jame Hoang

Joined
5/21/13
Messages
2
Points
11
I have a modified model to forecast stock return based on interet and exchage rate:
Capture_inter1.JPG


But i don't know how to apply Maximum likelihood to estimate alpha_0,alpha_1, beta_1, C1

Because we just have distribution of epsilon is Gauss distribution. But I don't know any info about C1.

Please help me to solve this problem
Thks,

Jame
 
No, I want to know algorithm about this. Because I have more coefficientC1 in model.

This coefficient doesn't have in normal Garch-M
 
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