3 年 后
2 年 后

很好，最近在搞决策论，感觉这个挺有用的，谢谢楼主

7 个月 后

楼主太牛了，大爱楼主~~~~

5 个月 后

看来自己的眼界真的太小了，最近才刚刚知道copula函数，查了才发现，大家早就有所来了解甚至掌握了。要努力学习并不断开阔视野了。谢谢楼主以及大家所提供的信息

3 个月 后
2 个月 后
4 年 后

感谢辉的文献吖，刚刚开始学习Copula-DCC-GARCH模型，及时雨～?

require('rugarch')
require('rmgarch')
require('quantmod')
require('lubridate')

mbase <- getSymbols('JPY=X', from = today() %m-% years(1))
mbase <- cbind(Hi(mbase), Lo(mbase))

speclist <- filter_spec(mbase, .currency = 'JPY=X', .price_type = 'HL')
mspec <- multispec(speclist)

cSpec <- cgarchspec(
  mspec, VAR = .VAR, lag = 1, 
  lag.criterion = c('AIC', 'HQ', 'SC', 'FPE'), 
  external.regressors = NULL, #external.regressors = VAREXO, 
  dccOrder = c(1, 1), 
  distribution.model = list(
    copula = .dist.model, method = .model, transformation = .tram), 
  start.pars = list(), fixed.pars = list())

# question 1: cgarchsim()
fc1 <- cgarchsim(fit, n.sim = ..., m.sim = 1)

# question 2: p=?
fc2 <- varxforecast(X = mbase, Bcoef = fit@mfit$stdresid, p = 2, 
                    out.sample = 0, n.ahead = .ahead, n.roll = 0, 
                    mregfor = NULL)
#Error in Bcoef %*% t(Z) : non-conformable arguments

问题原文：Copula-DCC-GARCH : rmgarch::cgarchsim() and rmgarch::varxforecast()