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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 ...