[R] Estimation of an GARCH model with conditional skewness and kurtosis

[Johannes Lips]

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