Clear Filters
Clear Filters

Garch-evt - copula

7 views (last 30 days)
Hamid Muili
Hamid Muili on 27 May 2024
Edited: Manikanta Aditya on 28 May 2024
I am trying to estimate an Egarch- EVT- COPULA MODEL. THE MODEL WILL LINK THE Egarch with extreme value theory and copula to capture interdependence. Is there a toolbox for this, user-written codes or package to execute this. I will be happy if I can get some help in this regard

Answers (1)

Manikanta Aditya
Manikanta Aditya on 28 May 2024
Edited: Manikanta Aditya on 28 May 2024
There isn't a direct toolbox which directs you for the estimation for Egarch - EVT - COPULA Model. But there are some toolboxes which can direct you for your requirements.
Econometrics Toolbox: For GARCH/EGARCH modeling.
  1. https://in.mathworks.com/help/econ/egarch-model.html
  2. https://in.mathworks.com/help/econ/specify-egarch-models-using-egarch.html
Statistics and Machine Learning Toolbox: For copula distributions and correlated samples
  1. https://in.mathworks.com/help/stats/copula-distributions-and-correlated-samples.html
MathWorks provides an example on “Using Extreme Value Theory and Copulas to Evaluate Market Risk”, which uses a Student’s t copula and Extreme Value Theory (EVT) in a Monte Carlo simulation technique.
User-written Code: For more specific implementations, you may need to write custom functions or find user-contributed code on platforms like MATLAB Central File Exchange.
I hope this helps.

Categories

Find more on Conditional Variance Models in Help Center and File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!