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...
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| Format: | Theses and Dissertations NonPeerReviewed |
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[Yogyakarta] : Universitas Gadjah Mada
2013
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| Online Access: | 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 |
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id-ugm-repo.1187182016-03-04T08:38:34Z https://repository.ugm.ac.id/118718/ ESTIMASI VALUE AT RISK DAN EXPECTED SHORTFALL UNTUK HETEROSKEDASTIK RUNTUN WAKTU FINANSIAL DENGAN GENERALIZED PARETO DISTRIBUTION , HERMANSAH , Dr. Abdurakhman, M.Si., ETD 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. [Yogyakarta] : Universitas Gadjah Mada 2013 Thesis NonPeerReviewed , HERMANSAH and , Dr. Abdurakhman, M.Si., (2013) ESTIMASI VALUE AT RISK DAN EXPECTED SHORTFALL UNTUK HETEROSKEDASTIK RUNTUN WAKTU FINANSIAL DENGAN GENERALIZED PARETO DISTRIBUTION. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=58692 |
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ETD , HERMANSAH , Dr. Abdurakhman, M.Si., ESTIMASI VALUE AT RISK DAN EXPECTED SHORTFALL UNTUK HETEROSKEDASTIK RUNTUN WAKTU FINANSIAL DENGAN GENERALIZED PARETO DISTRIBUTION |
| description |
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. |
| format |
Theses and Dissertations NonPeerReviewed |
| author |
, HERMANSAH , Dr. Abdurakhman, M.Si., |
| author_facet |
, HERMANSAH , Dr. Abdurakhman, M.Si., |
| author_sort |
, HERMANSAH |
| title |
ESTIMASI VALUE AT RISK DAN EXPECTED SHORTFALL
UNTUK HETEROSKEDASTIK RUNTUN WAKTU FINANSIAL
DENGAN GENERALIZED PARETO DISTRIBUTION |
| title_short |
ESTIMASI VALUE AT RISK DAN EXPECTED SHORTFALL
UNTUK HETEROSKEDASTIK RUNTUN WAKTU FINANSIAL
DENGAN GENERALIZED PARETO DISTRIBUTION |
| title_full |
ESTIMASI VALUE AT RISK DAN EXPECTED SHORTFALL
UNTUK HETEROSKEDASTIK RUNTUN WAKTU FINANSIAL
DENGAN GENERALIZED PARETO DISTRIBUTION |
| title_fullStr |
ESTIMASI VALUE AT RISK DAN EXPECTED SHORTFALL
UNTUK HETEROSKEDASTIK RUNTUN WAKTU FINANSIAL
DENGAN GENERALIZED PARETO DISTRIBUTION |
| title_full_unstemmed |
ESTIMASI VALUE AT RISK DAN EXPECTED SHORTFALL
UNTUK HETEROSKEDASTIK RUNTUN WAKTU FINANSIAL
DENGAN GENERALIZED PARETO DISTRIBUTION |
| title_sort |
estimasi value at risk dan expected shortfall
untuk heteroskedastik runtun waktu finansial
dengan generalized pareto distribution |
| publisher |
[Yogyakarta] : Universitas Gadjah Mada |
| publishDate |
2013 |
| url |
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 |
| _version_ |
1681231011894001664 |