THE PREDICTION OF BROWNIAN MOTION RISK MEASUREMENT WITH GARCH(1,1) MODEL
Risk is frequentlyinterpreted as the possibility of a loss. Oftentimes, loss occurs not only due to one risk but also due to several risks which is referred to as aggregate risk. In this thesis, aggregate risk is modeled by a Brownian motion.The aggregate risk of Brownian motion at time t is the...
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| 格式: | Theses |
| 語言: | Indonesia |
| 在線閱讀: | https://digilib.itb.ac.id/gdl/view/42529 |
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| 機構: | Institut Teknologi Bandung |
| 語言: | Indonesia |