Browsing Faculty of Mathematics and Natural Sciences by Subject "value at risk"

Now showing items 1-2 of 2

PERHITUNGAN VALUE AT RISK HARGA SAHAM DENGAN MENGGUNAKAN VOLATILITAS ARCH-GARCH DALAM KELOMPOK SAHAM LQ 45

Gaol, Boy A Lumban; Nababan, Tumpal Parulian; Sirait, Haposan (2016-04-27)

This article discusses the application of ARCH-GARCH method to calculate value at risk. The application process begins by constructing model using ARCH-GARCH. This model is used to predict the variance or the volatility ...
PERHITUNGAN VALUE AT RISK PADA PORTOFOLIO SAHAM DENGAN METODE VARIANSI-KOVARIANSI

Siagian, Novita Theresia; Nababan, Tumpal Parulian; Sirait, Haposan (2016-02-04)

This article discusses the evaluation of value at risk (VaR) for stock portofolio with variance-covariance method. VaR is the estimation of maximum loss which can occur with -level of confidence over a holding period of ...

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