International Journal of Quantitative Research and Modeling
Vol 1, No 1 (2020)

A GARCH APPROACH TO VaR CALCULATION IN FINANCIAL MARKET

Nurfadhlina Abdul Halim (Unknown)
Endang Soeryana (Unknown)
Alit Kartiwa (Unknown)

Article Info

Publish Date
02 Feb 2020

Abstract

Value at Risk (VaR) has already becomes a standard measurement that must be carried out by financial institution for both internal interest and regulatory. VaR is defined as the value that portfolio will loss with a certain probability value and over a certain time horizon (usually one or ten days). In this paper we examine of VaR calculation when the volatility is not constant using generalized autoregressive conditional heteroscedastic (GARCH) model. We illustrate the method to real data from Indonesian financial market that is the stock of PT. Indosat Tbk.

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Journal Info
International Journal of Quantitative Research and Modeling
Website

Abbrev

ijqrm

Publisher

Research Collaboration Community

Subject

Computer Science & IT Decision Sciences, Operations Research & Management Engineering Environmental Science Physics

Description

International Journal of Quantitative Research and Modeling (IJQRM) is published 4 times a year and is the flagship journal of the Research Collaboration Community (RCC). It is the aim of IJQRM to present papers which cover the theory, practice, history or methodology of Quatitative Research (QR) ...