Garch-evt - copula

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

Answer 1

[Manikanta Aditya]

Hi @Hamid Muili,

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.