random normal (0,1) correlated by copulas

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Hi,
I created a simulation of random variables correlated by copulas in Matlab, using ksdensity function.
Now I am trying to simulate several N(0,1) distributions, but I want them to be intercorrelated by the same copulas.
How can I insert the copula parameter in normrnd function?
Thank you very much,

Accepted Answer

Tom Lane
Tom Lane on 15 Apr 2015
The usual idea is that you apply your inverse probability distributions to the marginals (each column) of the copularnd results. In your case, if all variables are to have a standard normal distribution, you can just apply norminv to the entire array.
  1 Comment
Alexandra
Alexandra on 15 Apr 2015
Thank you Tom, I know what you mean. I am trying to build a Copula-GARCH model. I thought that was the way I had to do it. In GARCH, the stochastic part is N(0,1) in the variance equation. So I wanted the N(0,1) to be correlated with copulas to simulate random correlated variables. But I think I was wrong. I need to fit the copula to the residuals of the GARCH model and then multiply the random copulas with the variance equation of GARCH to obtain the correlated returns. I will attempt this.

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