ANALISIS RISIKO PERUSAHAAN INFRASTRUKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA MENGGUNAKAN VALUE AT RISK (VaR)
DOI:
https://doi.org/10.22441/indikator.v2i3.3288Keywords:
Value at Risk (VaR), EWMA, ARCH/GARCH, Simple Standard Deviation, Backtesting.Abstract
Penelitian ini meneliti tentang analisis return saham terhadap risiko investor menggunakan Value at Risk (VaR) menggunakan volatilitas yang diukur tidak hanya dengan simple standard deviation namun juga dengan model EWMA dan ARCH/GARCH. Model EWMA dan ARCH/GARCH digunakan karena data return dari indeks bursa saham cenderung bersifat heteroskedasitas. Khusus untuk model ARCH/GARCH, dalam penelitian ini juga digunakan salah satu variannya yaitu IGARCH. Uji Validitas dilaukan dengan metode backtesting untuk nilai VaR dibandingkan dengan actual loss dari 2 Januari 2014 sampai 29 Desember 2017. Hasil penelitian ini menunjukkan bahwa hanya ada dua model yang valid yaitu simple standard deviation dan ARCH/GARCH yang memberikan nilai Actual Loss lebih kecil dari VaR. Untuk Model EWMA dinyatakan tidak valid.References
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