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Estimation value at risk by using Conditional Copula-GARCH

5.0 | 3 ratings Rate this file 20 Downloads (last 30 days) File Size: 103 KB File ID: #32154 Version: 1.1

Estimation value at risk by using Conditional Copula-GARCH



09 Jul 2011 (Updated )

Estimating VaR

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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

Milena (view profile)

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,

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05 Jul 2014 Weiyu Wan

06 Apr 2013 phix

phix (view profile)

19 Mar 2013 Domi

Domi (view profile)

08 Oct 2012 1.1

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

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