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Garch-evt - copula

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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.
Statistics and Machine Learning Toolbox: For copula distributions and correlated samples
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.


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