ARCH MODEL: VALUE-AT-RISK AND COPULA-BASED PREDICTION
Modelling a risk to a stochastic model is commonly used in risk management. One of stochastic models which can capture heteroscedacticity property is Autoregressive Conditional Heteroscedastic (ARCH) model. In this thesis, some alternative representation of ARCH model are constructed. These new...
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| Format: | Theses |
| Language: | Indonesia |
| Subjects: | |
| Online Access: | https://digilib.itb.ac.id/gdl/view/32157 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |