Estimating VaR of portfoilio by using Conditional copula GARCH(1,1) model.
Thank you for this great file. I could not locate the 'fitparcopulag' function. Please could you advise how can I obtain it. Also the sigma (standard deviations) are vectors, and not a number - Please could you advise how to obtain these as well.
-This update contains example of copula111gGarch111VaR() Function.
Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.