Nida Siddiqui

6 Questions 1 Answers 0 Followers

Questions related from Nida Siddiqui

Forecasting with known copula parameters?

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...

15 July 2024 7,565 1 View

How to generate data from copula parameters for forecasting and model comparsion?

Hi, I have parameters of time-varying normal copula. Now I want to forecast using these parameters. For that I will need to generate data using these copulas parameters as shown in the...

21 May 2024 450 0 View

For copula modeling of time series data, why are standardized residuals of fitted ARIMA/GARCH required instead of directly using time series data?

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...

12 February 2024 2,425 1 View

Time Varying copulas Empirical analysis steps?

Hello, All papers I have read about time-varying copulas just produce tables, but none explains exact steps for empirical data. How do I calculate the time varying parameters for the copula? I...

19 December 2023 5,408 1 View

If time series is stationary(constant mean and variance), How are we modelling Volatility with GARCH?

When we do GARCH, we make time series stationary. Stationary means constant mean and variance. Then how are we modelling variance with GARCH when its stationary? What am I missing here. Also, can...

22 June 2023 9,148 5 View

How to decide parameter significance based ONLY ON "T VALUE"? in BEKK-MGARCH, from BEKKs R package?

Hello, I ran BEKKs MGARCH package on my three variables of interest in R studio. But the output just shows parameters with only corresponding t values. How to interpret significance in this case....

12 March 2023 6,286 2 View