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Title: Inversion copulas for realized GARCH models Authors:  Richard Gerlach - University of Sydney (Australia) [presenting]
Abstract: Inversion copulas show promise in modelling latent nonlinear state space models with Markov dependence structures. We extend this idea to cover nonlinear time series with non-Markov dependence, with focus on two special cases: the well-known GARCH and Realized GARCH specifications. Both present challenges in finding and evaluating the implied margin of the latent variable: we discuss some possible solutions here. Likelihood and Bayesian computational methods are derived for estimation, inference and forecasting purposes. The sampling properties of these estimators are illustrated via a simulation study. The two new time series inversion copula models are used to model and forecast financial returns from several financial indices, including an emerging markets index and a gold and silver index. The proposed models are competitive for density and tail risk forecasting in these series, compared to a range of popular, competing financial time series models.