MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG

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...

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Bibliographic Details
Main Authors: I KOMANG TRY BAYU MAHENDRA, KOMANG DHARMAWAN, NI KETUT TARI TASTRAWATI
Format: Article
Language:English
Published: Universitas Udayana 2015-06-01
Series:E-Jurnal Matematika
Subjects:
GARCH model
NGARCH model
Value at Risk
Online Access:http://ojs.unud.ac.id/index.php/mtk/article/view/13549

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