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Estimation value at risk by using Conditional Copula-GARCH

version 1.1.0.0 (103 KB) by Ali Najjar
Estimating VaR

6 Downloads

Updated 08 Oct 2012

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

Cite As

Ali Najjar (2021). 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 .

Comments and Ratings (4)

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

Weiyu Wan

phix

Domi

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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