KOMARI, KOMARI (2007) MODEL PREDIKSI RISIKO PASAR PADA SAHAM SEKTORAL BERDASARKAN VALUE AT RISK DI BURSA EFEK JAKARTA. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
This research purpose is to provide the empirical evidence about the market risk prediction model for the index sector stock in Jakarta Stock Exchange with its volatility forecasting. Its volatility forecasting consists of Standard Normal of Deviation, Exponentially Weighted Moving Average (EWMA), and Generalized Autoregressive Conditional Heteroscedasticity (GARCH).Predicting market risk by testing Value at Risk (VaR) on each index sector for the period June 1, 2005 to June 29, 2007 This VaR testing uses Monte Carlo Simulation with confidence level 99% and 95% to know the VaR for each index sector with 3 (three) kinds of daily volatility forecasting for 1 (one) year. The results are tested by using 3 (three) variables performance test which consisting of accuracy test, conservatism test, and efficiency test. The results show that not of all VaR testing meets the 3 (three) variables performance. Only some of them meet its accuracy test like meeting of Log Likehood Ratio (LR) from Kupiec (1995) by maximum 3.841. For conservatism test and efficiency test, there are not significant different on both for all sector. The VaR testing uses Monte Carlo Simulation risk prediction model in Finance sector, Manufacture sector, Infrastructure and Utility sector, and Miscellanous sector with 99% confidence level and EWMA volatilility have met accuracy test as in Kupiec Test, eventhough, there are better for conservatism test and efficient test for other index sector but not significant. For other index sector, they do not meet accuracy test. The use of Standard Normal of Deviation and GARCH in VaR testing both 99% and 95% confidence level, show that none of them meets accuracy test. Key words : Value at Risk (VaR), Monte Carlo Simulation), Exponentially Weighted Moving Average (EWMA), Generalized Autoregressive Conditional Heteroscedasticity (GARCH), accuracy test, conservatism test, efficiency test, confidence level. Penelitian ini dilakukan untuk memberikan bukti empiris tentang model prediksi risiko pasar pada saham sektoral di Bursa Efek Jakarta dengan pemilihan forecasting atas volatilitas harga saham tersebut. Pemilihan forecasting terdiri dari Standar Deviasi Normal, Exponentially Weighted Moving Average (EWMA), dan Generalized Autoregressive Conditional Heteroscedasticity (GARCH). Prediksi risiko pasar dengan melakukan penilaian Value At Risk (VaR atas masing – masing saham sektoral dengan periode data dari 1 Juni 2005 sampai dengan 29 Juni 2007. Penilaian VaR ini dengan menggunakan metode Monte Carlo Simulation dengan tingkat keyakinan (confidence level) 99% dan 95% yang dilakukan untuk mengetahui nilai VaR masing – masing saham sektoral dengan 3 (tiga) macam forecasting volatilitas tersebut untuk setiap hari selama 1 (satu) tahun. Dari hasil penilaian VaR ini, dilakukan uji performansi dengan menggunakan variabel ketepatan (accuracy), uji konservatifitas (conservatism), dan uji efisiensi (efficiency). Hasil penelitian menunjukkan bahwa tidak semua hasil penilaian VaR dari saham sektoral dapat memenuhi 3 (tiga) uji performansi sebagaimana tersebut. Hanya beberapa saja yang dapat memenuhi uji ketepatan (accuracy) seperti pemenuhan Log Likehood Ratio (LR) dari Kupiec (1995) sebesar maksimum 3.841. Untuk uji Konservatifitas (Conservatism) dan uji Efisiensi (Efficiency) menunjukkan tidak terdapat perbedaan yang berarti di antara semua sektor. Penilaian VaR dengan model prediksi risiko Monte Carlo Simulation pada sektor Keuangan (Finance), sektor Manufaktur (Manufacture), sektor Infrastruktur & Utilitas (Infrastructure & Utility), dan sektor Aneka Industri (Miscellanous) pada tingkat keyakinan (confidence level) 99% dengan volatilitas EWMA telah memenuhi variabel ketepatan (accuracy) sebagaimana uji Kupiec Test, meskipun untuk uji performansi dengan variabel konservatifitas (conservatism) dan variabel efisiensi (efficiency) masih ada yang lebih baik untuk sektor lainnya namun tidak signifikan. Untuk saham sektor lainnya, tidak memenuhi uji ketepatan (accuracy). Penggunaan volatilitas Standar Deviasi Normal dan GARCH dalam penilaian VaR baik pada confidence level 95% maupun 99% manunjukkan tidak satupun yang memenuhi uji ketepatan (accuracy). Kata Kunci : Value at Risk (VaR), Monte Carlo Simulation), Exponentially Weighted Moving Average (EWMA), Generalized Autoregressive Conditional Heteroscedasticity (GARCH), uji ketepatan (accuracy), uji konservatifitas (conservatism), dan uji efisiensi (efficiency), tingkat keyakinan (confidence level).
| Item Type: | Thesis (S2) |
|---|---|
| Call Number CD: | CDT-551-07-038 |
| NIM/NIDN Creators: | 55105110148 |
| Uncontrolled Keywords: | Value at Risk (VaR), Monte Carlo Simulation), Exponentially Weighted Moving Average (EWMA), Generalized Autoregressive Conditional Heteroscedasticity (GARCH), accuracy test, conservatism test, efficiency test, confidence level, Value at Risk (VaR), Monte Carlo Simulation), Exponentially Weighted Moving Average (EWMA), Generalized Autoregressive Conditional Heteroscedasticity (GARCH), uji ketepatan (accuracy), uji konservatifitas (conservatism), dan uji efisiensi (efficiency), tingkat keyakinan (confidence level), mku, manajemen keuangan |
| Subjects: | 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | ORYZA LUVITA |
| Date Deposited: | 09 Jun 2022 07:42 |
| Last Modified: | 18 Jul 2022 06:41 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/63020 |
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