MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG
<p><em>In investment, risk measurement is important. One of risk measure is Value at Risk (VaR). There are many methods that can be used to estimate risk based on VaR framework. One of them Non Linier GARCH (NGARCH) model. In this research, determination of VaR used NGARCH model. NGARCH...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Udayana
2015-06-01
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| Series: | E-Jurnal Matematika |
| Subjects: | |
| Online Access: | http://ojs.unud.ac.id/index.php/mtk/article/view/13549 |