Before revision:  The idea is illustrated using a transformed Gaussian ARMA process for volatility, yielding the class of VT-ARMA copula models. These can replicate many of the stylized facts of financial return series and  facilitate the calculation of marginal and conditional characteristics of the model including quantile measures of risk.
After revision:  The idea is illustrated using a Gaussian ARMA copula process and the resulting model is shown to replicate many of the stylized facts of financial return series and facilitate the calculation of marginal and conditional characteristics of the model including quantile measures of risk.