[R-SIG-Finance] Fw: VaR with ARMA and Garch

[Ludovic Mbakop Yopa]

________________________________
From: Ludovic Mbakop Yopa
Sent: Saturday, January 17, 2015 3:12 PM
To: r-sig-finance at r-project.org
Subject: VaR with ARMA and Garch


Good Evening,



I am Ludovic , please

I would like to compute the 1 day ahead VaR for a timeseries of returns. i would also like the innovations of the Arma and Garch to have a MNTS distributions .
 i know the first step looks like
t2= garchFit(formula = ~arma(1, 1) + garch(1, 1), data = RBK,
cond.dist = "")

Please what should the next steps be

should i use   t3=predict(t2, n.ahead = )?
 how do i specify the MNTS distribution into the the garchfit function
what is the difference between Predict and Fitted .

Please how do i get The 1´day ahead VaR
Thank you for your time
best Regards.
Ludovic       luyo13ab at student.cbs.dk<mailto:luyo13ab at student.cbs.dk>

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