RISK ASSESSMENT OF STOCKS PORTFOLIO THROUGH ENSEMBLE ARMA-GARCH AND VALUE AT RISK (CASE STUDY: INDF.JK AND ICBP.JK STOCK PRICE)
Stocks portfolio is a form of investment that can be used to minimize the risk of loss. In a stock portfolio, the Value at Risk (VaR) can be predicted through the portfolio return. If portfolio return variance is heteroskedastic risk prediction can be done by using VaR with ARIMA-GARCH or Ensemble A...
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| Asıl Yazarlar: | , , , , |
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| Materyal Türü: | Artigo |
| Dil: | Inglês |
| Baskı/Yayın Bilgisi: |
Universitas Diponegoro
2022-01-01
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| Seri Bilgileri: | Media Statistika |
| Konular: | |
| Online Erişim: | https://ejournal.undip.ac.id/index.php/media_statistika/article/view/43699 |
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