Hello again, I am trying to estimate the parameters of following Garch
model:

r[t] = Mu + K * Sigma[t] + Z[t] * Sigma[t] + sum( on j from 1 to st)Nu[j]

Z[t] ~ N(0, 1)

st ~ Poisson[Lambda]

Nu[j] ~ N(0, v)

Sigma[t] ~ Garch(1,1)

I have the time series for r[t] for 500 days.

Can someone point me if there is any R function to achieve the estimation
of those parameters?

Some research paper on the estimation of same, also be really beneficial.

Thanks for your help.

Thanks and regards,

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