Thank you Alexios for quick reply!! The files in the 'rmgarch.tests' folder gave me a lot of help.
Can I do 1-step ahead forecasting using GARCH-Copula with the help of rmgarch package? for example I need to get the returns of each assets and their covariance at T+1 based on the parameters estimated using in-sample data until T? I followed your Example in the help of cgarchsim. Please correct me if I am wrong: 1) the (mean) forecast returns should be the simmean1 in your example 2) I think rcov(sim1) only report the 1st cov out of 3500 simulations. Then how to get the mean forecast cov? I think the Example in ?cgarchsim has a copula of errors, although none of them is serious: > spec = cgarchspec(uspec = multispec( replicate(3, uspec) ), VAR = TRUE, > VAR.opt = list(lag = 1, lag.max = 4, lag.criterion = c("AIC", "HQ", "SC", "FPE"), external.regressors = NULL), dccOrder = c(1,1), distribution.model = list(copula = c("mvnorm"), method = c("ML"), time.varying = TRUE, transformation = "parametric"), start.pars = list(), fixed.pars = list()) VAR.opt = list(lag = 1, lag.max = 4, lag.criterion = c("AIC", "HQ", "SC", "FPE"), external.regressors = NULL) need to be lag = 1, lag.max = 4, lag.criterion = c("AIC", "HQ", "SC", "FPE"), external.regressors = NULL > sim1 = cgarchsim(fit1, n.sim = 1, n.start = 0, m.sim = 3500, presigma = > tail(sigma(fit1), 1), startMethod = "sample", preR = preR, prereturns = tail( as.matrix(Dat), 4), preresiduals = tail(residuals(.fitlist), 1),rseed = 1:3500) if I use prereturns = tail( as.matrix(Dat), 4) , it will report error. So instead, I use prereturns = tail( as.matrix(Dat), 1) > forcmean = round( rgarch:::varxforecast(X = Dat, Bcoef = > fit1@mfit$vrmodel$Bcoef, p = 4, out.sample = 0, n.ahead = 1, n.roll = 0, mregfor = NULL), 5) the rgarch package is offline. So can you suggest another way for this? Thank you again! -- View this message in context: http://r.789695.n4.nabble.com/copula-with-rmgarch-tp4616138p4618054.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.