GARCH, t-distributon,why the degree of freedom is 995?

[wangjiangjiang]

I am doing the rolling GARCH estimations under t-distribution. So I use this code to generate the quantile to calculate VaR

Code: Select all

Series dof_{!j}=garch_n_{!j}.@df series sdof=dof_{!j} series quan=@qtdist(0.01,sdof)

But I feel very confused that the degree of freedom stored in the series is 994 or 995.

The is the estimated equation. Is 5.216754 the degree of freedom?

[wangjiangjiang]

the quantile I need is used to calculate VaR. how to generate the corresponding degree of freedom?