# Tag Info

## New answers tagged garch

1

Now I have trouble interpreting the results of Q-Statistics? First of all to test the mean equation, we look at the standardized residuals. These standardized residuals should behave iid(0,1). Since the p-values is very small, we can conclude, that they are not independent, since there exist serial correlation. Is this right? Yes, as you mention near ...

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 ...

4

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 ...

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