PERHITUNGAN VALUE AT RISK PADA PORTOFOLIO SAHAM MENGGUNAKAN COPULA (Studi Kasus : Saham- Saham Perusahaan di Indonesia Periode 13 Oktober 2011 - 12 Oktober 2016)

Oktafiani Widya Ningrum, Tarno Tarno, Di Asih I Maruddani

Abstract


Investment is one of the way that is widely performed by people to achieve profitability in the future.Stock data is a data that is obtained from the observation that stock prices can be categorized into time series data, which usually have a tendency to fluctuate rapidly by the time so the variance of the residual will always change all the time or not constant, or often called heteroscedasticity case.  Forecasting and data analysis is intended to minimize the risk and uncertainty factors. The risks can not be avoided but can be managed and estimated using Value at Risk (VaR) measurement tool. Copula theory is one of the tool that can be used to fit the joint distribution because it does not require the assumption of normality of the data so it is flexible enough for a variety of data, especially for financial data. This research is conducted using the method of Copula-GARCH to fit the three stocks of companies return data in Indonesia which have high volatility, those are PT Vale Indonesia Tbk (INCO), PT Bank Central Asia Tbk (BCA), and PT Indocement Tunggal Tbk (INTP) in period of October 13, 2011 to October 12, 2016 into ARIMA-GARCH model. The analysis is followed by copula on two stocks that have the highest ARIMA-GARCH residual correlation, those are BCA and INTP.Copula Gumbel is selected as the best copula with the amount of  is 1,337. The risk derived from the calculation of Value at Risk (VaR) at the 99% confidence level is 3,922%, at the 95% confidence level is 2,397%, and at the 90% confidence level is 1,745%.

Keywords : Value at Risk, Copula, GARCH


Keywords


Value at Risk, Copula, GARCH

Full Text:

PDF

Refbacks

  • There are currently no refbacks.



Jurnal Ilmiah S1 Statistika

Departemen Statistika Universitas Diponegoro

Gedung F Lantai III, Kampus FSM UNDIP Tembalang

Semarang 50275

Creative Commons License
Jurnal Gaussian by http://ejournal-s1.undip.ac.id/index.php/gaussian/ is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
baju muslim anak kaos anak muslim baju anak kaos junior kaos anak baju anak perempuan baju muslim anak baju anak branded grosir baju anak baju muslim anak perempuan baju anak anak baju anak import baju anak murah grosir baju anak branded baju anak laki laki baju pesta anak grosir baju anak murah baju anak branded murah grosir baju anak import baju pesta anak perempuan baju anak perempuan lucu baju tidur anak baju anak online grosir baju anak tanah abang jual baju anak baju anak perempuan branded grosir baju anak branded murah baju anak muslim jual baju anak branded baju anak terbaru kaos muslim anak produsen baju anak produsen baju anak murah produsen baju anak branded kaos anak muslim grosir baju anak baju anak kaos junior kaos anak baju anak perempuan baju muslim anak baju anak branded baju muslim anak perempuan baju anak anak baju anak import baju anak murah grosir baju anak branded baju anak laki laki baju pesta anak grosir baju anak murah baju anak branded murah grosir baju anak import baju pesta anak perempuan baju anak perempuan lucu baju anak perempuan branded baju tidur anak baju anak online jual baju anak baju anak muslim grosir baju anak tanah abang jual baju anak branded baju anak terbaru kaos muslim anak produsen baju anak produsen baju anak murah produsen baju anak branded baju anak terbaru kaos muslim anak kaos anak muslim grosir baju anak produsen baju anak murah produsen baju anak branded grosir baju anak branded murah baju pesta anak perempuan


Flag Counter