I want to calculate the Mean absolute percentage error (MAPE) for my copula model. I am stuck at the forecasting step. I am not specifying the copula here for different data pairs.
1. I have two time series $X$ and $Y$. I found best GARCH parameters $\alpha$ and $\beta$ assuming 0 mean.
2. The Kendals $\tau$ between two variables is $\tau$
3. Then I found best copula and had its parameters say $\kappa$ and $\omega$.
4. Now for forecasting I need to generate residuals using my copula parameters found in step 3.
How to do this if I want to enter the copula parameters MANUALLY and not use some $param=fit$ type of code in R.
I can work in R as well as excel. Please if somebody could help me with the exact steps of point 4.
Forecasting with known copula parameters involves using copulas to model and predict the dependence structure between multiple variables. By specifying the copula parameters, you can simulate or forecast joint distributions and dependencies, providing more accurate risk assessments and predictions in financial, economic, or other multi-dimensional contexts.
- Badges
- Science topic
- Similar topics
- Mathematics
- Statistics
- Sampling Design
- Sample Size