Dear All

Please,my results using standardized residuals for VaR produced unreliable results .Need some assistance?
model1 <- ugarchfit(data = matrix(res.ar1), spec = spec3, out.sample = 0, solver = "nlminb", 
  solver.control = list(), 
  fit.control = list(stationarity = 1, fixed.se = 0, scale = 0))
a<-residuals(model1)
a
b<-fitted(model1)
c<-a/b
d<-matrix(c)
e<-as.xts(d,as.Date(13301:14174,origin="1970-01-01"))
  library(PerformanceAnalytics)
       VaR(e, p=.99, method="historical",portfolio="single")

VaR calculation produces unreliable result (risk over 100%) for column: 1 : 177.289365852222
    [,1]
VaR  
 -1

Kind regards
Papa





e<-as.xts(d,as.Date(13301:14174,origin="1970-01-01"))
  library(PerformanceAnalytics)
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