ARCH EFFECTS AND VOLATILITY MODEL FOR RISK PREDICTION
An asset loss is defined as negative return from its asset. The loss value that ever changing over time can be modelled by using stochastic model. Volatility model can be used to accommodate the changing loss value. One of the common assumption in volatility modelling is Heteroscedastic. A stochasti...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/28230 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |