ESTIMASI VALUE AT RISK DAN EXPECTED SHORTFALL UNTUK HETEROSKEDASTIK RUNTUN WAKTU FINANSIAL DENGAN GENERALIZED PARETO DISTRIBUTION by , HERMANSAH, , Dr. Abdurakhman, M.Si.

“…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. …”