Article Per Year (5 Year)
p-Index From 2020 - 2025
0.23
P-Index
This Author published in this journals
All Journal International Journal of Quantitative Research and Modeling
Nurfadhlina Abdul Halim
Unknown Affiliation
Computer Science & IT Decision Sciences, Operations Research & Management Engineering Environmental Science Physics

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
A GARCH APPROACH TO VaR CALCULATION IN FINANCIAL MARKET Nurfadhlina Abdul Halim; Endang Soeryana; Alit Kartiwa
International Journal of Quantitative Research and Modeling Vol 1, No 1 (2020)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (283.537 KB) | DOI: 10.46336/ijqrm.v1i1.5

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.
Co-Authors Alit Kartiwa Endang Soeryana