My question is what would be the better( in terms of estimation accuracy) method of VaR calculation among below two:, also any small code snippet will be great as a starting point for me.
1st method: I am trying to using a Generalized Pareto Distribution(GPD) there. I think R package POT or EVD might be of some help to fit my monthly historical return data to a GPD. Then using fExtremes package VaR might be calculated.
2nd Method : Another way is using PerformanceAnalytics package and trying calculate Modified Cornish-Fisher VaR.