In addition to providing how to construct copulas step-by-step, we also provide how to construct copulas with just one line.
Load Data
With the same example data as before, here is how.
load stockreturns
x = stocks(:,1:2);
And this is how it fits.
C = bivariatefit(x);
% ============= OUTPUT =============
Marginal Distribution:
No. 1: Dist Name = Logistic
mu = -0.19364, sigma = 0.58158
No. 2: Dist Name = Generalized Extreme Value
k = -0.21362, sigma = 1.1975, mu = -0.66838
Case = Bivariate Copula
Selected by = Akaike Information Criterion
Fittest copula:
Copula Name = Gaussian
param1 = 0.7223
Goodness-of-fits:
AIC (Joint PDF) = 546.8
CvM = 0.021
RMSE = 0.014
pVal = 0.736
This is very easy. With just one line of code, we can fit the copula. And above is a summary of the fitting process.
Download: this example is available on demo1.m. Visit Github
Visit my personal blog
@ 2021-2023 Mohamad Khoirun Najib