Hot answers tagged estimation
3
you need to use the forecast for both the mean and sigma. It should look something like this:
forecast = ugarchforecast(modelfit, n.ahead = 1, data = mydata);
sigma(forecast);
fitted(forecast)
Then plug these values into the equation:
\begin{align}
\hat{VaR}_{0.99,T|T-1}&=\hat{\mu}_{T|T-1} + \hat{\sigma}_{T|T-1} * q_{0.99}
\end{align}
where $T$ is ...
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