Please, I've been stuck all the weekend in this problem, does someone know how find the Value at Risk $10$ days ahead (for example) using a GARCH($1,1$) ARMA($1,1$) Model.
Remark:
If it is easier to write the answer in some programing language (like R), go ahead. Thank you very much again
Best Answer
I assume you have a logarithmic return series of an asset of interest.
ugarchfit
function inrugarch
package inR
(you will have to choose what density you want to assume for the standardized residuals).ugarchroll
function inrugarch
package inR
.qnorm
for the normal density,qt
for student density, or generallyqsomethingelse
for some other density inR
.There is a nice vignette for the
rugarch
package where you can learn more about ARMA+GARCH modelling (although not about VaR calculations). Also, this picture from Wikipedia helped me write this answer (I hope I got it correctly).