ABSTRACTIn this paper, we introduce a new distribution, called generalized Gudermannian (GG) distribution, and its skew extension for GARCH models in modelling daily Value-at-Risk (VaR). Basic structural properties of the proposed distribution are obtained including probability density and cumulative distribution functions, moments, and stochastic representation. The maximum likelihood method is used to estimate unknown parameters of the proposed model and finite sample performance of maximum likelihood estimates are evaluated by means of Monte-Carlo simulation study. The real data application on Nikkei 225 index is given to demonstrate the performance of GARCH model specified under skew extension of GG innovation distribution against normal, Student's-t, skew normal and generalized error and skew generalized error distributions in terms of the accuracy of VaR forecasts. The empirical results show that the GARCH model with GG innovation distribution produces the most accurate VaR forecasts for all confide...