Economics, Econometrics and Finance
5 years ago

GARCH model revolutionizes financial market risk assessment with VaR calculation.

International Journal of Quantitative Research and Modeling
A GARCH APPROACH TO VaR CALCULATION IN FINANCIAL MARKET
Nurfadhlina Abdul Halim, Endang Soeryana, Alit Kartiwa

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The article explores how to calculate Value at Risk (VaR) in financial markets when volatility is not constant. Researchers used a GARCH model to analyze the potential loss of a portfolio with a certain probability over a specific time period. They applied this method to real data from the Indonesian stock market, specifically looking at PT. Indosat Tbk.