I want to generate an EGARCH process. My problem is that I do not see how to create new processes beyond those available.
The process itself is :
$$\epsilon(t) = \sigma(t) \eta(t)$$
$$\log(\sigma(t)^2 ) = w + b\log(\sigma(t-1)^2) + c\eta(t-1) + d \lvert\eta(t-1)\rvert$$
Notice that I want to use
RandomFunction to generate the simulated values.
Then I'd like to estimate it using the
EstimatedProcess to estimate the parameters. I want to experiment with false models..