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International Journal of Scientific and Research Publications

IJSRP, Volume 8, Issue 2, February 2018 Edition [ISSN 2250-3153]


OPTIMIZATION OF PORTFOLIO AND THE ESTIMATION OF RISKS IN THE RWANDA FOREX EXCHANGE MARKET USING COPULA APPROACH
      Mr. RAFIKI MURENZI
Abstract: This research develops a model to forecast portfolio risk such as VaR (Value-at-Risk) and ES (Expected Shortfall) using GARCH-EVT (extreme value theory)-Copula based approach. We first extract the filtered residuals from each return series through an asymmetric GJR-GARCH-ARMA (1,1) model, residuals show the presence of fat tail

Reference this Research Paper (copy & paste below code):

Mr. RAFIKI MURENZI (2018); OPTIMIZATION OF PORTFOLIO AND THE ESTIMATION OF RISKS IN THE RWANDA FOREX EXCHANGE MARKET USING COPULA APPROACH; Int J Sci Res Publ 8(2) (ISSN: 2250-3153). http://www.ijsrp.org/research-paper-0218.php?rp=P747216
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