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This function implemented by function 'copula111cGarch111VaR' and other related functions that will estimate the value at risk of portfolio.
The marginal model are GARCH(1,1),GJR(1,1),AR(1)-GARCH(1,1)and AR(1)-GJR(1,1)
the parameters and standard deviation of models will used for estimation of parameters of copula function.
Cite As
Ali Najjar (2026). fitparp function (https://se.mathworks.com/matlabcentral/fileexchange/32215-fitparp-function), MATLAB Central File Exchange. Retrieved .
Acknowledgements
Inspired by: Dynamic Copula Toolbox 3.0
General Information
- Version 1.5.0.0 (1.95 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
