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Estimation value at risk by using Conditional Copula-GARCH

version 1.1 (103 KB) by

Estimating VaR

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

Comments and Ratings (4)

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,
Milena

Weiyu Wan

phix

phix (view profile)

Domi

Domi (view profile)

Updates

1.1

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

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MATLAB 7.11 (R2010b)

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