The R-code Procedure in the GARCH-EVT-Copula Model?

Masami Anzai @Masami_Anzai

09 September 2018 1 3K Report

Please teach me the R-code Procedure in the GARCH-EVT-Copula Model.

Akram Shavkatovich Hasanov

You may refer to 'rmgarch' package written by Alexios Ghalanos.

In addition, I would recommend the following book.

Bernhard Pfaff (2013). Financial risk modelling and portfolio optimization with R. John Wiley & Sons.

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