MATLAB: Is there a MATLAB function that builds a Copula-GARCH model for a given number of variables

Econometrics ToolboxStatistics and Machine Learning Toolbox

Is there a MATLAB function that builds a Copula-GARCH model for a given number of variables?

Best Answer

The Copula-GARCH model has a wide range of applications in economics and finance. It was first developed to measure the statistical dependency between different markets (with non-Gaussian financial returns) interacting on a global scale. The original paper can be found on the primary author's web page:
http://www.hec.unil.ch/ejondeau/Publications/cJIMF2006.pdf
The MATLAB Statistics Toolbox contains functions for generating Copula distributions whereas the Econometrics Toolbox contains a function that generates GARCH models. It is not trivial to combine these two models to obtain a Copula-GARCH model. There are implementations for Copula-GARCH models on MATLAB Central. However, they require both the Statistics and Econometrics Toolboxes. The following link contains one such implementation:
http://www.mathworks.com/matlabcentral/fileexchange/29303-dynamic-copula-toolbox-3-0
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