VaR prediction for GARCH (1,1) model with normal and student-t error distribution

Authors

Novi Permata Indah , Dian Permata Sari , I Putu Eka Wijaya , Madjidainun Rahma

DOI:

10.29303/jpm.v17i1.3215

Published:

2022-01-20

Issue:

Vol. 17 No. 1 (2022): January 2022

Keywords:

GARCH Model, Value at Risk, Coverage Probability

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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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