[R-SIG-Finance] rugarch and copulas

ludovic.theate ludovic.theate at gmail.com
Fri Nov 9 13:24:26 CET 2012

Hi Alexios,

It is really better than just clarification, your help is really precious
and appreciated. Thanks.

Just a remark concerning point 5. It was just a lack of precision from my
side, since in the actual version of the model, I am already using the

copulaSpec <- mvdc(calibration$t.copula, calibration$models,sstdSpec)

to do what you call the "reverse-transform".

In a (near ?) future, I plan to try to understand all these multivariate
models you are providing in your rmgarch package (especially the DCC ones),
but for the moment, I will deal only with copula-garch models.

Once again, thank you very much, and have a nice weekend,


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