Analisis Risiko Investasi Saham Syariah Dengan Model Value AT Risk-Asymmetric Power Autoregressive Conditional Heterocedasticity (VaR-APARCH)
نویسندگان
چکیده
منابع مشابه
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
Value at risk (VaR) is the standard measure of market risk used by financial institutions. Interpreting the VaR as the quantile of future portfolio values conditional on current information, the conditional autoregressive value at risk (CAViaR) model specifies the evolution of the quantile over time using an autoregressive process and estimates the parameters with regression quantiles. Utilizin...
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Conditional Value at Risk
We suggest a new methodology to overcome several well-known deeciencies of Value at Risk computations. Our approach mainly addresses two aspects of Value at Risk: rst, to avoid potentially disastrous clustering in predicted tail events we derive a new approach to accurately estimating the conditional distribution of asset returns using maximum entropy densities. Second, by the very nature of th...
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ژورنال
عنوان ژورنال: Jurnal Fourier
سال: 2017
ISSN: 2541-5239,2252-763X
DOI: 10.14421/fourier.2017.61.37-43