[R-SIG-Finance] rugarch and copulas

[Alexios Ghalanos]

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.

-Alexios

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
> 
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