Energy Risk Measure Prediction in ARMA(1,1)-GARCH(1,1) Volatility Models
The existence of extreme volatility due to increased price changes causes gre- ater risks and uncertainties to be faced. To minimize risk, it is necessary to predict volatility and risk measures. The model that can be used to predict vo- latility is a combination of ARMA(1,1) and GARCH(1,1) model...
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| 格式: | Theses |
| 語言: | Indonesia |
| 在線閱讀: | https://digilib.itb.ac.id/gdl/view/39118 |
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| 機構: | Institut Teknologi Bandung |
| 語言: | Indonesia |