Publication:
A GARCH Approach to VaR Calculation in Financial Market

Simple item page
dc.contributor.authorNurfadhlina Abdul Halimen_US
dc.contributor.authorEndang Soeryanaen_US
dc.contributor.authorAlit Kartiwen_US
dc.date.accessioned2024-05-28T04:21:57Z
dc.date.available2024-05-28T04:21:57Z
dc.date.issued2020
dc.date.submitted16/2/2021
dc.descriptionVolume :1 No: 1en_US
dc.description.abstractValue at Risk (VaR) has already becomes a standard measurement that must be carried out by financial institution for both internal interest and regulatory. VaR is defined as the value that portfolio will loss with a certain probability value and over a certain time horizon (usually one or ten days). In this paper we examine of VaR calculation when the volatility is not constant using generalized autoregressive conditional heteroscedastic (GARCH) model. We illustrate the method to real data from Indonesian financial market that is the stock of PT. Indosat Tbk.en_US
dc.identifier.doihttps://doi.org/10.46336/ijqrm.v1i1.5
dc.identifier.epage46
dc.identifier.issn2721-477X
dc.identifier.issue1
dc.identifier.spage35
dc.identifier.urihttps://journal.rescollacomm.com/index.php/ijqrm/article/view/5/5
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/5379
dc.identifier.volume1
dc.language.isoen_USen_US
dc.publisherResearch Collaboration Community (RCC)en_US
dc.relation.ispartofInternational Journal of Quantitative Research and Modelingen_US
dc.subjectValue at Risk, Risk Management, GARCH model, skewness, kurtosis, Quantileen_US
dc.titleA GARCH Approach to VaR Calculation in Financial Marketen_US
dc.typeArticleen_US
dspace.entity.typePublication

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
A GARCH Approach to VaR Calculation in Financial Market.pdf
Size:
276.89 KB
Format:
Adobe Portable Document Format
Download

Collections

Other Publications