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Dynamic Copula Toolbox 3.0

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Dynamic Copula Toolbox 3.0

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07 Nov 2010 (Updated )

Functions to estimate copula GARCH and copula Vine models.

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Description

Updates from version 2.0:

1. The marginal GARCH models are estimated from the toolbox functions (without the use of the econometrics/GARCH toolbox of MATLAB).
2. Hansen's Skew t distribution for the margins is supported.
3. Asymptotic standard errors are computed (Godambe info. matrix)

Acknowledgements

This file inspired Fitparp Function.

Required Products Optimization Toolbox
Statistics Toolbox
MATLAB release MATLAB 7.7 (R2008b)
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Comments and Ratings (12)
13 Jul 2014 Atanas Nedyalkov

Awesome job

10 Dec 2013 zhu

so helpful!thanks a lot!

24 Oct 2012 Emilien  
02 May 2012 Yin

I found out by myself ,sorry to disturb u.
Anyway, it is really a good and helpful toolbox!!!
Thanks for the Author!

01 May 2012 Yin

Dear author,
When I ran this code , I met this problem. I tried to find out the reason, but failed. The data here is one stock return. I want to fit a GARCH(1,1)model.
>> spec = modelspec(data)
>> fitModel(spec,data,'fminunc')
??? Operands to the || and && operators must be convertible to logical scalar
values.

Error in ==> FromCons2Unc at 41
if max(max(x))> a || min(min(x))<-a

Error in ==> RescaleParameters at 116
[uncmparams, d1mp, d2mp] = FromCons2Unc(consmparams,.5,3);

Error in ==> fitModel at 86
theta0 = RescaleParameters(theta0, 2, spec);

29 Aug 2011 charles yang

Dear Author,
Thanks for your work, now I meet a problem with FitModel.m as:
[parameters, LogL, evalmodel, GradHess, varargout] = fitModel(spec, out1, fminunc)
??? Error using ==> fminunc at 156
FMINUNC requires two input arguments.

I am still confusing with the data input way, because I already transformed the stock return into empirical CDF through empirical.m in out1 and just put out1 instead of data in the FitModel.m function, you see the error comes out as FMINUNC requires two input arguments. So could you show me how to input the data in a correct way?

16 Aug 2011 Behdad  
26 Jul 2011 wenhua yu

nice work! this program help me a lot~~~

26 Jul 2011 Paula

Dear author,
Just correcting my first comment above: I was not able to estimate a vine copula sequentially using “modelspec” (and the menu) and “fitModel” after that. I had to use “SeqFitCopVine.m” instead of “fitModel” and this is not specified in the Tutorial.
Thanks again.

25 Jul 2011 Paula

Dear author,
Excellent work! It has helped me a lot.
I just would like to mention two minor difficulties I had:
1) I was not able to estimate a vine copula sequentially using the menu. I had to use the function “SeqFitCopVine.m”.
2) I could not find “hfuncJC.m” in the third version of the toolbox. I think it’s missing. I had to copy this from version 2.0.
Thanks for your work.

13 Nov 2010 Manthos Vogiatzoglou

Dear Stee

Sorry for the inconvenience. I just forgot to add the hessian_2sided function to the toolbox. I will fix it tomorrow. Thanks for the rating and comments

13 Nov 2010 Stee Huang

Dear author,

Thanks for your nice work.
However, I find some problems when using this toolbox.
The wrong messages are follows:

??? Undefined function or method 'hessian_2sided' for input arguments of type 'struct'.

Error in ==> CalcStErrors at 39
Hnum = hessian_2sided(MyFunc,theta,data,spec,'fmincon'); % calculates the Hessian

Error in ==> fitModel at 185
[derivatives, RobVCV, VCV, hessian, RobStE]=CalcStErrors('CopulaGARCHLogL',
parameters, data, grad, hessian, spec, 'fmincon');

I truely hope you can deal with the above problem.

Updates
10 Nov 2010

Just open the script HowToUseTheToolbox.m and follow the instructions therein.

14 Nov 2010

Remove any older versions, install the new version and open HotToUseTheToolbox.m, then follow the instructions therein

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