ESTIMASI VALUE AT RISK (VaR) UNTUK MODEL EXPONENTIAL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (EGARCH) DENGAN DISTRIBUSI STUDENT-T
Quantitative risk measurement can be calculated using Value at Risk (VaR) method. Usually, we use VaR with Student-t distribution to estimate the maximum potential loss of leptokurtic data. This VaR Student-t is constant. In this paper, we employ VaR Student-t with EGARCH Student's-t model to e...
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| 格式: | Theses and Dissertations NonPeerReviewed |
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[Yogyakarta] : Universitas Gadjah Mada
2014
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| 在線閱讀: | https://repository.ugm.ac.id/133421/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=74084 |
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