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updated 2 years ago

Estimation value at risk by using Conditional Copula-GARCH by Ali Najjar

Estimating VaR (finance, garch, guassian copula)

varargout...

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updated 3 years ago

Estimation value at risk by using Conditional Copula-GARCH by Ali Najjar

This function estimate VaR of portfolio composed of two stocks return (var, finance, garch)

varargout=copula111cGarch111VaR(r,parameters,sigmaone,sig...

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