VALUE-AT-RISK DAN EXPECTED SHORTFALL PADA MODEL GARCH(1,1)
Value-at-Risk (VaR) and Expected Shortfall (ES) are risk measures that has been used with a purpose to predict the risks that might occur in the future. In this Final Project, volatility model Generalized Autoregressive Conditionally Heteroscedatic(GARCH) will be used to represent the value of finan...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/17492 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |