ARIMA-GARCH model for estimation of value-at-risk and expected shortfall of some stocks in Indonesian capital market

• Main Authors: Puspa Liza, Ghazali, Sukono, ., Soeryana, E, Simanjuntak, A, Santoso, A, Bon, A.T.
• Format: Conference or Workshop Item
• Language: English
• Published: 2019
• Subjects: HG Finance
• Online Access: http://eprints.unisza.edu.my/1868/1/FH03-FPP-20-37013.pdf; http://eprints.unisza.edu.my/1868/

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...