Estimation value at risk by using Conditional Copula-GARCH
This function estimate VaR of portfolio composed of two stocks return
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the copula111cGarch111VaR function estimate VaR (Value at Risk) of portfolio composed of two stocks return and extract number of violation of VaR The method of estimation is conditional copula- GARCH model.
the marginals have GARCH(1,1)and copula function is Clayton copula.
Cite As
Ali Najjar (2026). Estimation value at risk by using Conditional Copula-GARCH (https://uk.mathworks.com/matlabcentral/fileexchange/32153-estimation-value-at-risk-by-using-conditional-copula-garch), MATLAB Central File Exchange. Retrieved .
Categories
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General Information
- Version 1.0.0.0 (2.51 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
