Estimation value at risk by using Conditional Copula-GARCH

Versione 1.1.0.0 (103 KB) da Ali Najjar
Estimating VaR
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Aggiornato 8 ott 2012

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Estimating VaR of portfoilio by using Conditional copula GARCH(1,1) model.

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Ali Najjar (2024). Estimation value at risk by using Conditional Copula-GARCH (https://www.mathworks.com/matlabcentral/fileexchange/32154-estimation-value-at-risk-by-using-conditional-copula-garch), MATLAB Central File Exchange. Recuperato .

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Copula111gGarch111VaR/Function/

Versione Pubblicato Note della release
1.1.0.0

-This update contains example of copula111gGarch111VaR() Function.
-The main function also updated.

1.0.0.0