[R-SIG-Finance] VaR with ARMA-GARCH innovations in fGarch

[Ludovic Mbakop Yopa]

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Good Evening from Copenhagen ,



Hi my name is Ludovic please i have a quick question



I would like to compute the 1 day ahead VaR for a timeseries of returns with Arma(1,1)-Garch innovations the time series has 1510 observations .
 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 = )?
what is the difference between Predict and Fitted in the Fgarch Package .

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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