Arsip GARCH models.

Mean-VaR Portfolio Optimization Under CAPM by Non Constant Volatility in Return Market

Problems in this paper is the optimization of investment portfolios ...

Mean-Variance Portfolio Optimization on Some Islamic Stocks by Using Non Constant Mean and Volatility Models Approaches

Investment in Islamic stocks investors are also faced with the ...

Value-at-risk Di Bawah CAPM Transformasi Koyck Dengan Volatilitas Tak Konstan

Paper ini akan membahas perumusan Value-at-Risk (VaR) di bawah Capital ...

The Impact of Skewness and Kurtosis for VaR Calculation

This paper investigates the effect of skewness and kurtosis in ...