[R-SIG-Finance] rugarch and copulas

[Alexios Ghalanos]

1. Open the source package and see how the normal and student models are used in combination with GARCH...that should provide you with an idea of how to combine the two.
2. Read the vignette which contains additional details on the models with additional references.
3. Search this forum for an old reply to a similar question.

-Alexios

Sent from my iPhone

On Nov 8, 2012, at 13:43, "ludovic.theate" <ludovic.theate at gmail.com> wrote:

> Thanks for your answer, and sorry for the long delay.
> 
> OK, I am now giving a try to this cgarchfit function. However, as I can see,
> it works only (for the moment) with Gaussian and t-copulas. But I would like
> to have access to a more complete panoply of copulas models, including
> nested-archimedean copulas (even vines if time permits). So I am still
> interested to know how I could specify the innovations in the Garch
> prediction function of the rugarch package ?
> 
> Thanks for your help.
> 
> 
> 
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