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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 (4)
21 Jul 2014 Milena

Dear Ali,
Thank you for this great file. I could not locate the 'fitparcopulag' function. Please could you advise how can I obtain it. Also the sigma (standard deviations) are vectors, and not a number - Please could you advise how to obtain these as well.
Many thanks,
Kind regards,
Milena

05 Jul 2014 Weiyu Wan  
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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