ESTIMASI VALUE AT RISK (VaR) UNTUK MODEL EXPONENTIAL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (EGARCH) DENGAN DISTRIBUSI STUDENT-T

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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書目詳細資料
Main Authors:	, BONDRA UJI PRATAMA, , Dr. Abdurakhman, S.Si., M.Si.
格式:	Theses and Dissertations NonPeerReviewed
出版:	[Yogyakarta] : Universitas Gadjah Mada 2014
主題:	ETD
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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Universitas Gadjah Mada

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