I have results estimating of ARIMA - GARCH (residual probability is std).

I check out A Short, Comprehensive, Practical Guide to Copulas by Atillio Meucci. The paper provides further references in case.

But how to transform this data (with informations from estimated ARIMA - GARCH model) to marginal uniform distribution N~(0,1)? I don't know how to code in R, can anyone help me this code?

  • $\begingroup$ requests for R code would usually be off topic; see the help center $\endgroup$ – Glen_b -Reinstate Monica Mar 2 '17 at 3:21
  • $\begingroup$ It's not very clear what you mean by "with information from estimated ARIMA-GARCH". Further, if your data follow something like an ARIMA-GARCH model, the conditional distributions are not the same from observation to observation. $\endgroup$ – Glen_b -Reinstate Monica Mar 2 '17 at 3:24

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