ESTIMASI VALUE AT RISK PADA SAHAM PERUSAHAAN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX DENGAN MODEL VOLATILITAS ARCH, GARCH, DAN EWMA

PERTIWI, NOVITA RATNA (2018) ESTIMASI VALUE AT RISK PADA SAHAM PERUSAHAAN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX DENGAN MODEL VOLATILITAS ARCH, GARCH, DAN EWMA. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

Technical analysis is done in an effort to determined characteristics of data return, as well as provide information on the calculation of VaR (Value at Risk) results for shares of company listed in Jakarta Islamic Index by using estimates of volatility Autoregresive Conditional Heteroskedasticity (ARCH), Generalized Autoregresive Conditional Heteroskedasticity (GARCH), and Exponentially Weighted Moving Average (EWMA). Data obtained from the Indonesia Stock Exchange (www.idx.co.id) and Yahoo Finance in the form of daily price per January 1, 2014 to December 31, 2015. The results showed that the return data of listed companies in Jakarta Islamic Index had stationary data, did not have normal distribution. Return data of AALI, AKRA, ASII, BSDE, INDF, KBLF, MPPA, SMGR, SMRA and UNVR had heteroskedastic volatility. Return data of ADRO, ASRI, ICBP, INTP, ITMG, LPKR, LSIP, PGAS, TLKM, UNTR, and WIKA have homoskedastic volatility. Calculation of Value at Risk (VaR) through volatility estimation process with EWMA, ARCH, GARCH model, using 95% confidence level and 1 day holding period give potential loss information at each stock return value. The right Volatility Model used when calculating Value at Risk is the EWMA volatility model. Keywords: Return of Shares , Value at Risk (VaR), EWMA, ARCH/GARCH Analisis teknikal dilakukan dalam upaya mengetahui karakteristik data return serta memberikan informasi hasil perhitungan VaR (Value at Risk) untuk saham perusahaan yang terdaftar di Jakarta Islamic Index dengan menggunakan estimasi volatilitas Autoregresive Conditional Heteroskedasticity (ARCH), Generalized Autoregresive Conditional Heteroskedasticity (GARCH), dan Exponentially Weighted Moving Average (EWMA). Data diperoleh dari Bursa Efek Indonesia (www.idx.co.id) dan Yahoo Finance berupa harga saham harian per 1 Januari 2014 sampai 31 Desember 2015. Hasil penelitian menunjukkan bahwa data return saham perusahaan yang terdaftar di Jakarta Islamic Index memiliki data stasioner, tidak memiliki distribusi normal. Data return return saham AALI, AKRA, ASII, BSDE, INDF, KBLF, MPPA, SMGR, SMRA dan UNVR memiliki volatilitas bersifat heteroskedastic. Data return saham ADRO, ASRI, ICBP, INTP, ITMG, LPKR, LSIP, PGAS, TLKM, UNTR, dan WIKA memiliki volatilitas bersifat homoskedastic. Perhitungan Value at Risk (VaR) melalui proses estimasi volatilitas dengan model EWMA, ARCH, GARCH, menggunakan confidence level 95% dan holding period 1 hari memberikan informasi potensi kerugian maksimum pada masing-masing nilai return saham. Model Volatilitas yang tepat digunakan saat melakukan perhitungan Value at Risk ialah model volatilitas EWMA. Kata kunci: Return Saham, Value at Risk (VaR), EWMA, ARCH/GARCH

Item Type: Thesis (S2)
Call Number CD: CD/551. 18 087
Call Number: TM/51/18/104
NIM: 55114120036
Uncontrolled Keywords: Return Saham, Value at Risk (VaR), EWMA, ARCH/GARCH
Subjects: 100 Philosophy and Psychology/Filsafat dan Psikologi > 150 Psychology/Psikologi > 153 Conscious Mental Process and Intelligence/Intelegensia, Kecerdasan Proses Intelektual dan Mental > 153.4 Thought, Thinking, Reasoning, Intuition, Value, Judgment/Pemikiran, Pertimbangan, Penalaran, Intuisi, Nilai, Pendapat
100 Philosophy and Psychology/Filsafat dan Psikologi > 150 Psychology/Psikologi > 153 Conscious Mental Process and Intelligence/Intelegensia, Kecerdasan Proses Intelektual dan Mental > 153.4 Thought, Thinking, Reasoning, Intuition, Value, Judgment/Pemikiran, Pertimbangan, Penalaran, Intuisi, Nilai, Pendapat > 153.45 Value/Nilai
800 Literatures/Kesusastraan > 800. Literatures/Kesusastraan > 801 Philosophy and Theory of Literatures/Filsafat dan Teori Kesusastraan > 801.3 Value, Influence, Effect/Nilai, Pengaruh, Efek
Divisions: Pascasarjana > Magister Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 29 Oct 2018 01:02
Last Modified: 07 Nov 2018 02:36
URI: http://repository.mercubuana.ac.id/id/eprint/45287

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