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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

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).