Hello, I am trying to use copula-GARCH to model a multivariate time series. So far, I have:
-Estimated the GARCH(1,1) model -Obtained and standardized the residuals -Applied the pdf (Student's t in this case) to obtain (pseudo) uniform variables -Estimated the copula -Obtained a random sample from the copula -Applied the quantile function to the random sample At this point, I need to "un-GARCH" this sample so that I can obtain a simulated profile for the next time-period of the model. How can I do this in R? Thank you, Jonathan Samorajski ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
