Estimation value at risk by using Conditional Copula-GARCH

Estimating VaR

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Updated 8 Oct 2012

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

Cite As

Ali Najjar (2023). 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
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Version Published Release Notes
1.1.0.0

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

1.0.0.0