Hello,
I have read that for standard copula modeling, you can get empirical cdf of data and use it for copulas. But for time series data, we must first fit ARIMA/GARCH, get standardized residuals, and only then start copula modeling. What is the reason for this using standardized residuals and not directly the time series data for the copula modeling?
Lekia Nkpordee
Using standardized residuals from ARIMA/GARCH models instead of raw time series data helps address issues related to stationarity, serial dependence, and conditional dependence. It also aligns better with the assumptions of copula models, allowing for a more accurate and interpretable analysis of the dependence structure in time series data.
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