Dear ALL.
Please, find the code below;
spec = ugarchspec(variance.model = list(model = "eGARCH"), distribution.model ="sstd")
 roll = ugarchroll(spec3, data = xx, n.ahead = 1, forecast.length = 875,
 refit.every = 100, refit.window = "recursive", parallel = TRUE,
 parallel.control = list(pkg = "snowfall", cores = 10), solver = "solnp",
 solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0),
 calculate.VaR = TRUE, VaR.alpha = c(0.01, 0.05))
 report(roll, type = "VaR", n.ahead = 1, VaR.alpha = 0.01, conf.level = 0.99)
xx is a univariate time series.The problem is the even though the distribution.model="sstd" it reports EGARCH-norm
and also changing the backtest length  have no effect.
Also when for the VaR report both the conditional average and the unconditional average are rejected, what esle can one do and what does it imply.
Kind regards
Papa

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