According to the official Monarch website (www.monarch.org.nz) baby caterpillars need to feed off the swan plant (Gomphocarpus fruticosus) or the giant swan plant (G. physocarpus). (Our garden centre has live swan plants in store (in season) and we sell swan plant seeds in our seed range.) They also eat the Asclepsias species such as tropical milkweed/bloodflower (A. curassavica). Monarch caterpillars/butterflies are poisonous to predators and they get this toxicity from eating the poisonous milkweed.
Caterpillars in their latter stages (10 days old or 2 cm long) can also feed on a noxious weed (banned by most councils) called moth vine, cruel vine or kapok plant. At this stage you could also try grated cucumber, pumpkin or courgette. People have had varying reports of success with these food substitutes.
Some people have problems with wasps killing monarch caterpillars. Wasps lay their eggs on the caterpillars and the wasp larvae kill the caterpillar by eating it. To protect against wasps, try covering the swan plant with a mosquito net or something with a small weave. This will also prevent further monarch eggs being laid and depleting the food resource even more.
An egg takes about 7-10 days to hatch. The caterpillar phase takes 10-14 days and the chrysalis phase then takes another 10-14 days. These cycles slow down in cooler weather. When a chrysalis is about to hatch, it goes transparent so you can see the colour of the butterfly wings showing through. It then can emerge quite quickly (from as little as 20 minutes) into a beautiful monarch butterfly.