GARCH copulas, v-transforms and d-vines
Seminar in Insurance and Economics
SPEAKER: Alexander McNeil (University of York).
TITLE: GARCH copulas, v-transforms and d-vines.
ABSTRACT: Stationary models from the GARCH class have proved to be extremely useful for forecasting volatility and measuring risk in financial time series. However, the nature of their implied copulas is opaque. We analyse the serial dependence structure of first-order GARCH-type models in terms of the implied bivariate copulas that describe the dependence and partial dependence of pairs of variables at different lags. Our aim is to understand whether such dependence structures could be mimicked with appropriately chosen bivariate copulas arranged in d-vines.