. I have been able to do the following steps in R;
1. Fit GARCH models to each series.
2. Extract standardized returns.
3. Transform standardized returns to uniform marginals using the parametric IFM method by Joe.
4. Fit the copulas and estimate the parameters
5. Generate 100 1-day ahead forecasts from the copulas.
6. Reverse transform the simulated values.
7. Use these transformed forecasts in ugarchsim (using custom.dist)
8. Extract forecasted mu and sigma.
9. Calculate 95% and 99% VaR equally weighted portfolio of 5 assets with weights 1/5
Any assistance on the step 7, 8 and 9 using the rugarch package or any other package in R will be highly appreciated
Is it possible to estimate VaR using simulated values for every series? Or, copulas are just used for estimating portfolio VaR?
@Saeed Asadi you should conduct simulations after discovering the dgp and identing the exceedances
dose anybody know that how I can transform the standardized residulas to the uniform marginals using the MLE method? .... What is its code in the R program?
follow this link
https://cran.r-project.org/web/packages/copula/vignettes/copula_GARCH.html
- Badges
- Science topic
- Similar topics
- Statistics
- Time Series