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
Related Posts with Generalized Error Distribution Critical Values
Drop observations if two of the variables are identical- Return percentiles using simulate command
- Estimating working hours in a simultaneous equations model
- Bootstrapping of mean in a subsample
- Creating a variable that captures if monthly salary is twice as big as the previous month and employment stays the same
Subscribe to:
Post Comments (Atom)
0 Response to Generalized Error Distribution Critical Values
Post a Comment