VaR prediction for GARCH (1,1) model with normal and student-t error distribution
Issue:Vol. 17 No. 1 (2022): January 2022
Keywords:GARCH Model, Value at Risk, Coverage Probability
How to Cite
Indah, N. P., Sari, D. P., Wijaya, I. P. E., & Rahma, M. (2022). VaR prediction for GARCH (1,1) model with normal and student-t error distribution. Jurnal Pijar Mipa, 17(1), 89–93. https://doi.org/10.29303/jpm.v17i1.3215
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