[R] Question about copula-GARCH model

cmr.Pent at gmail.com cmr.Pent at gmail.com
Mon Jun 23 10:22:16 CEST 2008

A simple approach is to assume that dependence structure between
variables (which is characterized by copula) is constant throughout
the process. In this case, you may apply log-likelihood estimation of
copula parameters to ranked AR-GARCH process residuals.

A more complicated approach is to invent a model of how copula
parameters depend on the previous values of the process. This *might*
provide a better description of some empirical effects. But in
reality, these models are not reliable enough, because you are likely
to deal with many more parameters than in univariate case, and there
is no general way to estimate the parameters of copula evolution.
However, attempts are still made (see for example package mgarchBEKK).


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