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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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2014
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