MODEL APPROACH OF AGGREGATE RETURN VOLATILITY: GARCH(1,1)-COPULA VS GARCH(1,1)-BIVARIATE NORMAL
Aggregate risk is an aggregation of single risks that are both independent and interdependent. In this study, aggregate risk is constructed from two interdependent random risk variables. The dependence between two random variables can be determined through the size of dependence and joint distributi...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Pattimura
2025-07-01
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| Series: | Barekeng |
| Subjects: | |
| Online Access: | https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/17176 |
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