Use a "historical simulation" approach. See Hull, Options, Futures &
Other Derivatives, Ch.17, for details. It's a very easy technique to
implement- the fPortfolio package in R should be able to do it with one
command.

On Wed, 2010-01-27 at 23:31 -0800, deng yishuo wrote:

> 
> Dear folks!
> 
> data(sp500ret)
> ctrl = list(RHO = 1,DELTA = 1e-9, MAJIT = 100,MINIT = 650,TOL = 1e-7)
> spec = ugarchspec(variance.model = list(model = "sGARCH", garchOrder =
> c(1,1)), 
> 		mean.model = list(armaOrder = c(0,0), include.mean = TRUE), 
> 		distribution.model = "std")
> 
> sp500.bktest = ugarchroll(spec, data = sp500ret, n.ahead = 1,
> forecast.length = 100, 
> 		refit.every = 25, refit.window = "recursive", use.mclapply = FALSE, 
> 		solver = "solnp", fit.control = list(), solver.control = ctrl,
> 		calculate.VaR = TRUE, VaR.alpha = c(0.01, 0.025, 0.05))
> 
> In this example,as you can see we have already known the return rate from
> 1987-03-10 to 2009-01-30
> I wonder how can we kown the next trading day's VaR after  2009-01-30.
> 
> Thanks!
> 
> 
> 
> -----
> 违背命运的人，永远不可能了解自己。
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> 
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