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Please use this identifier to cite or link to this item: http://dspace.unimap.edu.my:80/xmlui/handle/123456789/29862
Title: Portfolio index risk estimation using Garch and VaR methods
Authors: Noor Azlinna, Azizan, Prof. Madya Dr.
Lee, Chia Kuang
Norhidayah, Abdull
Zenat, A.H. Abuzaid
aazlinna@yahoo.com
chia@ump.edu.my
hidayahabdull@ump.edu.my
Keywords: GARCH
Portfolio estimation
Risk
Value at Risk
Issue Date: 20-Nov-2012
Publisher: Malaysian Technical Universities Network (MTUN)
Citation: p. 643-647
Series/Report no.: Proceeding of the Malaysian Technical Universities Conference on Engineering and Technology (MUCET) 2012;
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.
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.
URI: http://dspace.unimap.edu.my/123456789/29862
Appears in Collections:Conference Papers

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