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VALUE AT RISK IN STOCK PORTFOLIO USING T-COPULA: Case Study of PT. Indofood Sukses Makmur, Tbk. and Bank Mandiri (Persero), Tbk.

  • Sartika Q
  • Widiharih T
  • Mukid M
MEDIA STATISTIKA (2019) 12(2) 175
DOI: 10.14710/medstat.12.2.175-187
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Abstract

… the Value at Risk portfolio of stock returns using the Copula-GARCH method of the t-Copula … To estimate GARCH model parameter we can use the Maximum Likelihood method. As an …

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APA

Sartika, Q. R., Widiharih, T., & Mukid, M. A. (2019). VALUE AT RISK IN STOCK PORTFOLIO USING T-COPULA: Case Study of PT. Indofood Sukses Makmur, Tbk. and Bank Mandiri (Persero), Tbk. MEDIA STATISTIKA, 12(2), 175. https://doi.org/10.14710/medstat.12.2.175-187

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