[R-SIG-Finance] Copula GARCH forecasting

sheila aziz sheila_aziz at yahoo.com
Mon Jan 18 15:26:16 CET 2016

Hi, I’m trying to forecast the Copula Garch Model for portfolio optimization. I have tried to use the dccforecast function with the cgarchfit function but it turns out to be error saying that there is no applicable method for dccforecast applied to an object of class cGARCHfit. So, how do we actually forecast the dcc copula garch model? Is there any other package that I should look at other than ‘rmgarch’? For instance, I have the following code:- library(zoo)library(rugarch)library(rmgarch)data("EuStockMarkets")EuStockLevel <- as.zoo(EuStockMarkets)[,c("DAX","CAC","FTSE")]EuStockRet <- diff(log(EuStockLevel)) # DCC timecopula MVN uspec = ugarchspec(mean.model = list(armaOrder = c(0,0)), variance.model = list(garchOrder = c(1,1), model = "sGARCH", variance.targeting=FALSE), distribution.model = "norm")spec1 = cgarchspec(uspec = multispec( replicate(3, uspec) ), asymmetric = TRUE,  distribution.model = list(copula = "mvnorm", method = "Kendall", time.varying = TRUE, transformation = "parametric"))fit1 = cgarchfit(spec1, data = EuStockRet, cluster = NULL, solver.control=list(trace=1))print(fit1)  #Forecastingfit.copula = cgarchfit(spec1, data = EuStockRet, out.sample = 12, solver = "solnp", solver.control =list(),fit.control = list(eval.se = TRUE, stationarity = TRUE, scale = FALSE),cluster = NULL, fit =NULL, VAR.fit = NULL)dcc.copula.focast=dccforecast(fit.copula, n.ahead = 1, n.roll = 0) ## Error in UseMethod("dccforecast") : no applicable method for 'dccforecast' applied to an object of class "c('cGARCHfit', 'mGARCHfit', 'GARCHfit', 'rGARCH')" I need to forecast the copula garch model so that I can get the forecasted variance covariance matrix and also the forecasted mean value from the fitted model. covmat.copula.focast= rcov(dcc.copula.focast)  ##Forecasted Covariance matrixmean.copula.focast = fitted(dcc.copula.focast)  ##Mean forecast matrix array Appreciate if anyone can assist me on this matter. Thank you..

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