ARIMA-GARCH model for estimation of value-at-risk and expected shortfall of some stocks in Indonesian capital market
In stock investments, keep in mind the movements and risk of losses that may occur from investments made. One way to calculate risk is to use Value-at-Risk and Expected Shortfall. The purpose of this research is to determine the amount Value-at-Risk and Expected Shortfall of selected stocks using...
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Main Authors: | Puspa Liza, Ghazali, Sukono, ., Soeryana, E, Simanjuntak, A, Santoso, A, Bon, A.T. |
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Format: | Conference or Workshop Item |
Language: | English |
Published: |
2019
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Subjects: | |
Online Access: | http://eprints.unisza.edu.my/1868/1/FH03-FPP-20-37013.pdf http://eprints.unisza.edu.my/1868/ |
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