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dc.contributor.authorNoor Azlinna, Azizan, Prof. Madya Dr.-
dc.contributor.authorLee, Chia Kuang-
dc.contributor.authorNorhidayah, Abdull-
dc.contributor.authorZenat, A.H. Abuzaid-
dc.date.accessioned2013-11-18T03:54:43Z-
dc.date.available2013-11-18T03:54:43Z-
dc.date.issued2012-11-20-
dc.identifier.citationp. 643-647en_US
dc.identifier.urihttp://dspace.unimap.edu.my/123456789/29862-
dc.descriptionMalaysian 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.abstractPortfolio 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.isoenen_US
dc.publisherMalaysian Technical Universities Network (MTUN)en_US
dc.relation.ispartofseriesProceeding of the Malaysian Technical Universities Conference on Engineering and Technology (MUCET) 2012;-
dc.subjectGARCHen_US
dc.subjectPortfolio estimationen_US
dc.subjectRisken_US
dc.subjectValue at Risken_US
dc.titlePortfolio index risk estimation using Garch and VaR methodsen_US
dc.typeWorking Paperen_US
dc.contributor.urlaazlinna@yahoo.comen_US
dc.contributor.urlchia@ump.edu.myen_US
dc.contributor.urlhidayahabdull@ump.edu.myen_US
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