In GARCH-EVT-Copula models for optimization I want to know how EVT is used to produce uniforms (0,1) from residuals?

10 October 2018 0 10K Report

Hello my friends

I have just studied an article in portfolio optimization by GARCH-EVT-Copula models. In the steps that the authors mention, they use GARCH model to extract residuals. in the second step (EVT) they use Gaussian kernel and GPD to estimate the uniforms that use in copula.

my question is that what is the application of EVT in estimate uniforms?

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