#clear
rm(list=ls())

#set directory
getwd()
setwd("C:/Users/Isariya/Desktop")

##############################################################
# COPULA-GARCH MODELING
##############################################################

# install.packages("rmgarch")
library(rmgarch)
library(xlsx)
library(fGarch)

# import data
temp <- tempfile()
download.file("http://freakonometrics.free.fr/oil.xls",temp)
oil=read.xlsx(temp,sheetName="DATA",dec=",")

# DCC-GARCH (GARCH ???????????? ??? ?????????)

garch11.spec = ugarchspec(
                            mean.model = list(armaOrder = c(2,1)),
                            variance.model = list(garchOrder = c(1,1), model = "GARCH"), 
                            distribution.model = "norm" )

dcc.garch11.spec = dccspec(
                            uspec = multispec( replicate(3, garch11.spec)), 
                            dccOrder = c(1,1), 
                            distribution = "mvnorm")

dcc.fit= dccfit(dcc.garch11.spec,data = dat)

fcst=dccforecast(dcc.fit,n.ahead=200)

plot(fcst)