Built ARMA-GARCH-Copula model to model the dependence between SP500 and TSX log return from 2006 - 2018
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By comparing the different copula's average distance with empirical copula, I find that t copula fits the dependence best which means that the extremes are more likely to happen and contrary to most results, in relatively short time, the dependece is not asymmetric.
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Simulate returns based on the model, estimate VaR and compare their performance within different models and with traditional VaR method through back-test. The comparison confirms the superiority of the Arma-Garch-Clayton copula in estimating VaR.
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Please see more details about copula by reading attached my math thesis 'Copula and Its Application in Estimating Portfolio Value-at-risk'