Skip to content

this code is used to construct a 2T-PoT-MIDAS-Copula model to predict volatility marginally and VaR in joint

Notifications You must be signed in to change notification settings

yuyuliangyu/2T-PoT-MIDAS-Copula

Folders and files

NameName
Last commit message
Last commit date

Latest commit

42e9499 · Jun 13, 2024

History

4 Commits
Jun 13, 2024
Jun 13, 2024

Repository files navigation

2T-PoT-MIDAS-Copula

this code is used to construct a 2T-PoT-MIDAS-Copula model to predict volatility marginally and VaR in joint

Zhenyu Yang, School of Statistics and Mathematics, Zhejiang Gongshang University, China

We proposes a dynamic two-tailed peak over threshold (2T-PoT) model based on the dynamic bivariate peak over threshold model. The proposed model has a double-tailed distribution with Pareto behavior. We combine the extended model with the GARCH-MIDAS model for out-of-sample volatility forecasting. The empirical results show that the extended model has better volatility forecasting ability than the original dynamic PoT model. Further, we define a 2PoT-GAS-Copula model similar to PoT-GAS-Copula, and the performance of the former in predicting VaR is consistent with the latter, illustrating the reliability of the new model.

If you want to use the code, comment the source: https://github.com/yuyuliangyu/2T-PoT-MIDAS-Copula

About

this code is used to construct a 2T-PoT-MIDAS-Copula model to predict volatility marginally and VaR in joint

Resources

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published

Languages