# Fitting a non linear AR + GARCH(1,1)-M model

I want to fit the following model to a time series:

$$y_{t}=\alpha_{0}+\alpha_{1}y_{t-1}+\alpha_{2}y_{t-1}^{2}+\lambda h_{t}+\varepsilon_{t}$$

$$h_{t}=\beta_{0}+\beta_{1}\varepsilon_{t-1}^{2}+\beta_{2}h_{t-1}$$

How can I do this with R or with any other statistical software?

Thanks

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Sorry ... I missed the "non" in "non-linear" and the square ... I will delete my answer, it is not an answer to your question. – Richard Mar 8 at 14:54
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