In Sadorsky (2006), state space model is specified for volatility and a one period ahead forecast constructed from the estimated model.

r^2(t) = c1 z_1(t) + z_2(t) (1)

z_2(t) = var(exp(c2)) (2)

z_1(t) = z_1(t-1) (3)

where r(t) is the petroleum futures price return. This model describes an unobserved term with an AR(1) process. The variables z1 and z2 are the two state variables.

Eq. (1) is the signal equation and Eqs. (2) and (3) are the state equations.

Could anyone suggest any software package to estimate and forecast volatility using the aforementioned specification given in Sadorsky (2006)?

Sadorsky (2006) Modeling and forecasting petroleum futures volatility. Energy Economics 28, 467-488.