On the Conditional Value at Risk Based on the Laplace Distribution with Application in GARCH Model
نویسندگان
چکیده
In this article, the Laplace distribution is employed in lieu of well-known normal for finding better scalar values risk. Explicit formulas value-at-risk (VaR) and conditional (CVaR) are studied used to manage risk involved a stock movement by using GARCH model. Numerical simulations given variety stocks equity markets uphold findings.
منابع مشابه
conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
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ژورنال
عنوان ژورنال: Mathematics
سال: 2022
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math10163018