I'm new using Oxmetric7, so my question might be too simple. I'm estimating GARCH models to model marginal distribution of asset log returns and then apply the probability integral transform (PIT) to the standardized residuals of the GARCH model and use them as input of a copula function. But I haven't been able to extract the PIT with Oxmetrics7. Does anybody know a function to get them?
I've searched in the user manual for the PIT but there is only information about some forecast test related to it. So, I haven't been able to get the PIT of the GARCH model residuals.
Thanks in advance.
