the reduced - form GARCH approach applies a univariate GARCH model direclty to portfolio P&L data. So, instead of taking the lower percentile of the empirical distribution a GARCH model is applied to portfolio returns using formula : VaR(a,b)=Za*P*s(standard deviation) where Za is the standard normal a critical value, P is the current value of the portfolio, and s is the forecast of the standard deviation onthe h day portfolio return. Can someone explain to me how does this work?is there an excel that i could download or an example in order to understand the above?Even an article will do.

do you mind sending me the article? I am interested in your question.

Hi J I have the relevant article in pdf and cannot upload. you can find it though in Gloriamundi.org. The title is : How accurate are Value-at-Risk Models at commercial banks? by Jeremy Berkowitz and James O'BrienI hope this helps