Estimation value at risk by using Conditional Copula-GARCH

Versione 1.0.0.0 (2,51 KB) da Ali Najjar
This function estimate VaR of portfolio composed of two stocks return
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Aggiornato 9 lug 2011

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the copula111cGarch111VaR function estimate VaR (Value at Risk) of portfolio composed of two stocks return and extract number of violation of VaR The method of estimation is conditional copula- GARCH model.
the marginals have GARCH(1,1)and copula function is Clayton copula.

Cita come

Ali Najjar (2024). Estimation value at risk by using Conditional Copula-GARCH (https://www.mathworks.com/matlabcentral/fileexchange/32153-estimation-value-at-risk-by-using-conditional-copula-garch), MATLAB Central File Exchange. Recuperato .

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Creato con R2010a
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Versione Pubblicato Note della release
1.0.0.0