International Journal of Scientific and Research Publications

Home
About Us
Editorial Board

Online Publication

Log In
New User?
       Register Now!
Forgot Password?
       Email Password!


Call For Papers

Call for Research Paper

Authors

Online Submission
Paper Submission Guidelines
Online Publication Charge
Print Publication Charge
How to publish research paper
Publication Certificate
Research Catalogue
Resources
FAQs

Reviewer

Join Reviewer Panel
Reviewer Guidelines

IJSRP Publications

E-Journal
Print Journal

Downloads

IJSRP Paper Format
Instructions

Contact Us

Feedback Form
Contact Us
Site Map

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



      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 Paper]   [BACK]

Ooops! It appears you don't have a PDF plugin for this barrPostingser. you can click here to download the PDF file.

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

IJSRP PUBLICATIONS

Home

About Us
Editorial Board
Call for Paper

Call for Research Paper
Paper Status
IJSRP Paper Format
Join Us

Download e-journal
Join Forum
Invite Friends
Subscribe
Get Social with Us!



Copyright © 2011-2016, IJSRP Inc., All rights reserved.