| dc.contributor.author | Noor Azlinna, Azizan, Prof. Madya Dr. | |
| dc.contributor.author | Lee, Chia Kuang | |
| dc.contributor.author | Norhidayah, Abdull | |
| dc.contributor.author | Zenat, A.H. Abuzaid | |
| dc.date.accessioned | 2013-11-18T03:54:43Z | |
| dc.date.available | 2013-11-18T03:54:43Z | |
| dc.date.issued | 2012-11-20 | |
| dc.identifier.citation | p. 643-647 | en_US |
| dc.identifier.uri | http://dspace.unimap.edu.my/123456789/29862 | |
| dc.description | Malaysian Technical Universities Conference on Engineering and Technology (MUCET) 2012 organised by technical universities under the Malaysian Technical Universities Network (MTUN), 20th - 21st November 2012 at Hotel Seri Malaysia, Kangar, Perlis. | en_US |
| dc.description.abstract | Portfolio managers around the world concerned
with risk estimation because portfolio risk management is part of their decision-making process. Hull (2006, p. 435) notes, VaR is widely used by fund managers “to provide a
single number summarizing the total risk in a portfolio of financial assets.” Motivates from this, we conduct an analysis to compare the effectiveness of VaR analysis and
GARCH method in forecasting risk estimation. Risk manger can used the best methods in reducing their customers risk volatility and rank the risk level. | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Malaysian Technical Universities Network (MTUN) | en_US |
| dc.relation.ispartofseries | Proceeding of the Malaysian Technical Universities Conference on Engineering and Technology (MUCET) 2012; | |
| dc.subject | GARCH | en_US |
| dc.subject | Portfolio estimation | en_US |
| dc.subject | Risk | en_US |
| dc.subject | Value at Risk | en_US |
| dc.title | Portfolio index risk estimation using Garch and VaR methods | en_US |
| dc.type | Working Paper | en_US |
| dc.contributor.url | aazlinna@yahoo.com | en_US |
| dc.contributor.url | chia@ump.edu.my | en_US |
| dc.contributor.url | hidayahabdull@ump.edu.my | en_US |
