Hot answers tagged garch
3
You want to set the parameter n.roll to the number of n.ahead, n.roll rolling forecasts you want. (The n.ahead parameter controls how many steps ahead you want to forecast for each roll date.) Thus by setting n.roll to a number almost equal to your sample size, and critically setting the out.sample parameter almost equal to your sample size, you're telling ...
2
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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