rugarch and copulas
1. Open the source package and see how the normal and student models are used in combination with GARCH...that should provide you with an idea of how to combine the two. 2. Read the vignette which contains additional details on the models with additional references. 3. Search this forum for an old reply to a similar question. -Alexios Sent from my iPhone
On Nov 8, 2012, at 13:43, "ludovic.theate" <ludovic.theate at gmail.com> wrote:
Thanks for your answer, and sorry for the long delay. OK, I am now giving a try to this cgarchfit function. However, as I can see, it works only (for the moment) with Gaussian and t-copulas. But I would like to have access to a more complete panoply of copulas models, including nested-archimedean copulas (even vines if time permits). So I am still interested to know how I could specify the innovations in the Garch prediction function of the rugarch package ? Thanks for your help. -- View this message in context: http://r.789695.n4.nabble.com/rugarch-and-copulas-tp4647300p4648880.html Sent from the Rmetrics mailing list archive at Nabble.com.
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