Tagged Questions

4
votes
1answer
60 views

Is my VaR calculation correct?

I want to use a ARMA-GARCH process to calculate the value at risk. I use the rugarch package of R. First of all, I specify my model: ...
8
votes
0answers
80 views

rugarch: Joint estimation leads to different results

I want to fit an ARMA-GARCH model to my data using rugarch package in R. First of all, I look at the acf and pacf: ...
4
votes
2answers
171 views

Fitting distributions to financial data using volatility model to estimate VaR

I want to fit a distribution to my financial data using a volatility model to estimate the VaR. So in case of a normal distribution, this would be very easy, I assume the returns to follow a normal ...
17
votes
2answers
705 views

Tools in R for estimating time-varying copulas?

Are there libraries in R for estimating time-varying joint distributions via copulas? Hedibert Lopes has an excellent paper on the topic here. I know there is an existing packaged called copula but ...