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 -------------------------------------------------------- If you are not an intended recipient of this e-mail, please notify the sender, delete it and do not read, act upon, print, disclose, copy, retain or redistribute it. Click here for important additional terms relating to this e-mail. http://www.ml.com/email_terms/ -------------------------------------------------------- [[alternative HTML version deleted]]