[R-SIG-Finance] Copula-GARCH with rmgarch package

Le Hoang Van lhvan at u.nus.edu
Sun Mar 6 11:21:54 CET 2016

Hi all,

I'm using the rmgarch package to model asset returns using the function cgarchfit function. The latest version of this package currently supports Gaussian copula and Student-t copula with time varying correlation rho_t. I have read the vignette but still not sure how the rho_t is modeled. There is, however, a brief mention of the seminal paper of Patton (2006) [1] on extension of static copulas to dynamic models, so is it safe to assume that the rho_t is modeled as per Patton’s approach? Or is it just a by-product of fitting a DCC-GARCH model a la Engle's?

If anyone could clarify that for me it would be great, thank you!

[1] A.J. Patton. Modelling asymmetric exchange rate dependence. International Economic Review, 47(2):527–556, 2006.


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