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
How to set that I have cross-sectional database from different year- Quick question: how to let stata read months?
- Standard Error Correction Time Series Analysis
- Correct for optimism in prediction modelling using bootstrapping (bsample command), is this the correct approach?
- Defining a variable fitting to the size of a matrix
Subscribe to:
Post Comments (Atom)
0 Response to Generalized Error Distribution Critical Values
Post a Comment