fitparp function 1.0

Date Added: July 31, 2013 | Visits: 350

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This function implemented by function 'copula111cGarch111VaR' and other related functions that will estimate the value at risk of portfolio.The marginal model are GARCH(1,1),GJR(1,1),AR(1)-GARCH(1,1)and AR(1)-GJR(1,1)the parameters and standard deviation of models will used for estimation of parameters of copula function.

Requirements: No special requirements

Platforms: Matlab

Keyword: Copula, Deviation, Estimation, Garch Gjr Garch, Gjr, Marginal, Model, Models, Parameters, Standard

Users rating: 0/10

License: Shareware

Size: 10 KB

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