ANALISIS VALUE AT RISK SAHAM PERTAMBANGAN DI BURSA EFEK INDONESIA

NOFREZA, HADI RIDHA (2021) ANALISIS VALUE AT RISK SAHAM PERTAMBANGAN DI BURSA EFEK INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

The high volatility in stocks makes this sector with a high level of risk. Measurement of the risk of loss on investment in stocks can be analyzed using the Value at Risk (VaR) method approach, using Earth Volatility using the Autoregresive Conditional Heteroskedasticity (ARCH) and Generalized Autoregresive Conditional Heteroskedasticity (GARCH) models. This study aims to estimate the value of investment risk using the VaR approach on mining stocks by forming an optimal volatility model from the ARCH-GARCH model. Research data is obtained from the Indonesia Stock Exchange (www.idx.co.id) and Yahoo Finance in the form of daily stock prices as of January 1, 2014 to December 31, 2018. This research shows the calculation of VaR through a volatility estimation process with the ARCH-GARCH model, using a level of confidence. 95% and holding period 1, 3, and 6 months. The holding period provides information on the maximum potential loss on each stock return value. This research can provide practical benefits for all parties interested in the results of this study. For investors who are useful in making investment decisions while the company is useful for consideration in an effort to improve company performance. This study can also provide empirical evidence on the theory of risk analysis using the Value at Risk method. This research can also add insight, views or information in understanding the ARCH-GARCH Model. Keywords: Mining Stocks, Stock Return, Value at Risk (VaR), Model ARCH / GARCH, Stationarity. Volatilitas yang tinggi pada saham pertambangan membuat sektor ini menjadi sektor dengan tingkat risiko yang tinggi. Pengukuran risiko kerugian atas investasi pada saham pertambangan dapat dianalisis dengan pendekatan metode Value at Risk (VaR), dengan menggunakan estimasi Volatilitas dengan menggunakan model Autoregresive Conditional Heteroskedasticity (ARCH) dan Generalized Autoregresive Conditional Heteroskedasticity (GARCH). Penelitian ini bertujuan mengestimasi nilai risiko investasi menggunakan pendekatan VaR pada saham pertambangan dengan membentuk model optimum volatilitas dari model ARCH-GARCH. Data panelitian diperoleh dari Bursa Efek Indonesia (www.idx.co.id) dan Yahoo Finance berupa harga saham harian per 1 Januari 2014 sampai 31 Desember 2018. Penelitian ini menunjukkan perhitungan VaR melalui proses estimasi volatilitas dengan model ARCH-GARCH, menggunakan confidence level 95% dan holding period 1, 3, dan 6 bulan. Holding period memberikan informasi potensi kerugian maksimum pada masing-masing nilai return saham. Penelitian ini dapat memberikan manfaat secara praktis bagi semua pihak yang berkepentingan terhadap hasil penelitian ini. Bagi investor bermanfaat dalam mempertimbangkan pengambilan keputusan investasi sedangkan bagi pihak perusahaan bermanfaat untuk pertimbangan dalam upaya meningkatkan kinerja pengelolaan perusahaan. Penelitian ini juga dapat memberikan bukti empiris terhadap teori mengenai analisis risiko dengan metode Value at Risk. Penelitian ini juga dapat menambah wawasan, pandangan atau informasi dalam memahami Model ARCH-GARCH. Kata kunci: Saham Pertambangan, Return Saham, Value at Risk (VaR), Model ARCH/GARCH, Stasioneritas.

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