I would greatly appreciate any insights into the problem described below,
regarding using the data obtained from applying the functions of the
rugarch
package into those from the copula
package.
- I fitted AR(1)-GARCH(1,1) to two return series u,v of length 500 each.
using
rugarchfit
in R. I converted the residuals to uniform using
pit(residuals(fit,standardize=TRUE))
Then, I plugged these residuals (uniform using PIT) to a copula and got the parameters.
- I simulated 100 points (bivariate) from the fitted copula.
Now, I want to convert these 100 points which are uniformly distributed back to the originally distributed series. How can I do this? How can I convert them back to residual form and then applying the fitted AR-GARCH to get the original series form?