The R-code procedure in the GARCH-EVT-Copula model estimation
I have been able to do the following steps in R:
- Fit GARCH models to each series.
- Extract standardized returns.
- Transform standardized returns to uniform marginals using the parametric IFM method by Joe.
- Fit the copulas and estimate the parameters.
- Generate 100 1-day ahead forecasts from the copulas.
- Reverse transform the simulated values.
- Use these transformed forecasts in ugarchsim (using custom.dist)
- Extract forecasted mu and sigma.
- Calculate 95% and 99% VaR equally weighted portfolio of 2 assets with weights 1/5
My question is, how to do the 9th step?