Estimation value at risk by using Conditional Copula-GARCH

Version 1.1.0.0 (103 KB) by Ali Najjar
Estimating VaR
5.0
(3)
1.7K Downloads
Updated 8 Oct 2012

View License

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

Cite As

Ali Najjar (2026). Estimation value at risk by using Conditional Copula-GARCH (https://www.mathworks.com/matlabcentral/fileexchange/32154-estimation-value-at-risk-by-using-conditional-copula-garch), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Conditional Variance Models in Help Center and MATLAB Answers
Tags Add Tags
Open in new tab
Version Published Release Notes
1.1.0.0

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

1.0.0.0