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!