Open AccessValue-at-Risk Modeling on Stock Return with Exogenous Variables using ARMAX-GARCHX Approach
Author(s) -
Dedy Dwi Prastyo,
Iio Lionita Sudjati,
Soo-Fen Fam,
Setiawan Setiawan,
Suhartono Suhartono,
Ni Luh Putu Satyaning Pradnya Paramitaa
Publication year - 2018
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1028/1/012225
Subject(s) - stock exchange , econometrics , value at risk , stock (firearms) , risk–return spectrum , volatility (finance) , database transaction , economics , business , financial economics , computer science , risk management , finance , engineering , mechanical engineering , portfolio , programming language