Hi 

I was wondering if you could tell me how would I go abt fitting the following model to a data series. It is an ARCH jump diffusion model.


X(t)=k+ ó (t)z(t)+J x Y, and

ó(t)= sqrt[a +b [X(t-1)-k]^2]


Here k is mean of the series. 
z(t) is iid standard normal error
J is a jump variable (either 1 or 0)
Y is normally distributed with mean m and variance v


Regards
Avishek
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