GARCH-Extreme Model For VaR Prediction
Risk measurement is necessary for risk management. A risk measure that can be used is Value-at-Risk (VaR), which is the tolerated maximum loss at some probability level. Understanding risk contained on asset investment, investor will be able to predict the possible risk in the future. This study wil...
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| Main Author: | |
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/25102 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
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