[R-SIG-Finance] Time-scale of Value at risk

[Данир Зулькарнаев]

Hi guys!

Could you please help me to understand some things about Value at risk?

1. How to time-scale nonnormal parametric Value at Risk?
I mean modified VaR, student VaR, skewed student VaR.
Is there any rule of thumb like square-root-of-time for normal
distribution?
Are there some packages to do it in R,

2. How does ugarchroll in rugarch estimate value-at-risk?
Does it compute the theoretical quantile of the particular distribution
which has been set in ugarchspec?

3. If I simulate 10000 paths by ugarchpath and find the X% of the worst
scenarios, is it be equivalent to Monte Carlo VaR?

Thanks!

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