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Estimation value at risk by using Conditional Copula-GARCH

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09 Jul 2011 (Updated )

Estimating VaR

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Description

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

Required Products GARCH Toolbox
MATLAB release MATLAB 7.11 (R2010b)
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Comments and Ratings (2)
06 Apr 2013 phix  
19 Mar 2013 Domi  
Updates
08 Oct 2012

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

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