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 |
| Summary: | 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 financial return. With using the risk measures VaR and ES, a simulation for risk prediction will be carried out by using some methods of risk prediction, namely (i) Historical Simulation Method, (ii) Normal Conditional Distribution Method, and (iii) Filtered Historical Simulation Method. This simulation was conducted to see how good GARCH(1,1) and risk measures VaR and ES in predicting one step ahead risk prediction. |
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