Message-ID: <CAP3yu5_zSoAWRC1T=OybudRpZm7pCa-JNkDMnJxQpO2wKoCtvA@mail.gmail.com>
Date: 2019-03-28T07:56:46Z
From: Данир Зулькарнаев
Subject: Time-scale of Value at risk
In-Reply-To: <18500d24cf0544c58ccb2f0a19249715@sberbank.ru>
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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