Hi everyone,
I am constructing a VaR estimate by doing a rolling window forecast on a multivariate realized GARCH model. I used the distribution(ged) option for Generalized Normal Distribution errors. I am struggling to find the critical values (worst 5%) for this distribution... Does anyone know how I can get these values. Apologies if this is a stupid question, it's my first time using this distribution.
Best,
Tancredi
I am constructing a VaR estimate by doing a rolling window forecast on a multivariate realized GARCH model. I used the distribution(ged) option for Generalized Normal Distribution errors. I am struggling to find the critical values (worst 5%) for this distribution... Does anyone know how I can get these values. Apologies if this is a stupid question, it's my first time using this distribution.
Best,
Tancredi
