[R-SIG-Finance] rugarch and copulas

Alexios Ghalanos alexios at 4dscape.com
Wed Oct 24 13:18:48 CEST 2012

Try the rmgarch package on r-forge (see in particular the cgarchfit function and related methods). The package's vignette has details on the implementation of each model.


Sent from my iPhone

On Oct 24, 2012, at 14:14, Ludovic Theate <ludovic.theate at gmail.com> wrote:

> Hi everybody,
> I recently discovered the rugarch package and I have some questions
> about how I could use it for the model I am interested in.
> In fact, we develop a currency model, using in a first step, some
> garch models in order to fit a basket of currencies change rates. Then
> we try to account the correlation between each of them using a copula.
> A first version of this model has been developped using the fGarch
> package.
> Question 1 : If I have correctly understood the use of the fGarch
> package, I have to fit the model to the data using the garchFit
> method. Then in order to simulate some trajectories, I need to use the
> garchSim method which needs a model specification created by the
> garchSpec method (which requires to extract all the coefficients from
> the fit object and to specify them inside the garchSpec function). So
> there is no direct link between the fit method and the simulation one.
> Did I miss something ? If not, I clearly prefer the spec >- fit ->
> simulation workflow from rugarch.
> Question 2 : After fitting the arma-garch models to the various
> series, I compute a residulas matrix and I compute the rank of each of
> them within the original series. Then I fit a student copula using the
> fitCopula function. The next step is to simulate "correlated
> trajectories". To do so, I simulate realisations of the student copula
> using the rmvdc function, then I directly inject these innovations
> inside the garchSim method (this is easy to do by modifying the
> function, there is just a parameter to add and a little modification
> inside the body to do.)
> If I want to do the same job with the rugarch package, how should I
> provide to the function the innovations which were previously
> generated ?
> Thanks for your help,
> Ludo
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.

More information about the R-SIG-Finance mailing list