Azzera filtri
Azzera filtri

Garch-evt - copula

6 visualizzazioni (ultimi 30 giorni)
Hamid Muili
Hamid Muili il 27 Mag 2024
Modificato: Manikanta Aditya il 28 Mag 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

Risposte (1)

Manikanta Aditya
Manikanta Aditya il 28 Mag 2024
Modificato: Manikanta Aditya il 28 Mag 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.

Categorie

Scopri di più su Conditional Variance Models in Help Center e File Exchange

Community Treasure Hunt

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

Start Hunting!

Translated by