Multivariate Tcopula-GJR

Posted by fxjazz on Mar 07, 2012; 5:03am
URL: http://quantlib.414.s1.nabble.com/Multivariate-Tcopula-GJR-tp274.html

Hi,

I am new to quantlib and still figuring out howto use it. I have been through the documentation and it seems that only stationary volatility process can be used to generate correlated paths.

I was wondering whether there is a way to use an asymetric GARCH model along with a t-copula to induce correlation between residuals to simulate multi-assets paths?

My primary objective is to generate MonteCarlo simulations using EVT and copulas in order to estimate the VaR of a portfolio.


Many thanks in advance