ESTIMASI VALUE AT RISK DAN EXPECTED SHORTFALL UNTUK HETEROSKEDASTIK RUNTUN WAKTU FINANSIAL DENGAN GENERALIZED PARETO DISTRIBUTION
In this thesis explain a method for estimating Value at Risk (VaR) and Expected Shortfall of heteroscedastic financial return time series. The method used is combination of GARCH models and Extreme Value Theory (EVT). The GARCH models used to estimate volatility and EVT for estimating the tail of di...
محفوظ في:
| المؤلفون الرئيسيون: | , |
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| التنسيق: | Theses and Dissertations NonPeerReviewed |
| منشور في: |
[Yogyakarta] : Universitas Gadjah Mada
2013
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://repository.ugm.ac.id/118718/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=58692 |
| الوسوم: |
إضافة وسم
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| الملخص: | In this thesis explain a method for estimating Value at Risk (VaR) and
Expected Shortfall of heteroscedastic financial return time series. The method
used is combination of GARCH models and Extreme Value Theory (EVT). The
GARCH models used to estimate volatility and EVT for estimating the tail of
distribution. The distribution used in EVT is Generalized Pareto Distribution
(GPD). Furthermore the method used is a method estimation of conditional VaR
and conditional Expected Shortfall. |
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