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Homework answers / question archive / Why do we seldom see application of the Copula-Garch model in macroeconomics?

Why do we seldom see application of the Copula-Garch model in macroeconomics?

Economics

Why do we seldom see application of the Copula-Garch model in macroeconomics?

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GARCH-Copula model is rarely used in macroeconomics because it has many limitations such as it does not distinguish between good and bad risk. It does not determine the potential loss after a certain limit. There are only four copulas that are generally used to model the return of the asset. This model test for long memory in the stock exchange for a long period of time but there may be a change in the fractional structure of the time series.