GARCH-M equation in model

[Niko]

Hello,

I would like to estimate a real-world stock price (cdax) density by simulating a GARCH-m model.
To this end I have generated an equation object "fcast" and a model object "fmodel". First, I have estimated the equation:

EQUATION fcast.ARCH(1,1,THRSH=1,archm=sd,GED,DERIV=AA) dlog(cdax) c

However, when I copy the equation and paste it into the model object, I get the message "GARCH is an illegal or reserved name in FCAST". Can you tell me why it doesn't work?

Many thanks,
Niko

[trubador]

Model object operates on mean equations, whereas GARCH is a variance modeling technique. You'll have to do the simulation using other available tools (i.e. programming features and random number generators).