YUWONO, HARI (2010) ANALISIS VALUE AT RISK (VaR) DENGAN MODEL EWMA, GARCH DAN EVT POT: STUDI KASUS PADA IHSG, LQ45 DAN KURS IDR/USD. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
Concerns about measurement of investment risk in Indonesian stock market and IDR/USD exchange rate and the influence of time, accuracy and risk anticipation fund become the focus of this research. VaR method, using 3 models namely EWMA (Exponential Weighted Moving Average), GARCH(1,1) (Generalised Autoregressive Conditional Heteroscedasticity) and EVT POT (Extreme Value Theory Peak Over Threshold) based on Indonesian stock market data of IHSG, LQ45 and exchange rates data of IDR/USD from July 1994 to July 2009, was used to evaluate market risk. Data was analysed using Eviews 4.1 and MATLAB 2007b software. Programs for calculation of VaR in Matlab were updated the from programs originally developed by Nityanand Misra available at http://sites.google.com/site/nmisra. Volatility or standard deviation of exchange rate IDR/USD > IHSG > LQ45. On the contrary, standard deviation on returns of LQ45 > returns of IHSG > returns of IDR/USD exchange rate. These facts indicate that high volatility of IHSG does not mean that volatility on the returns of IHSG is also high. VaR calculation concludes that the fund to anticipate risk will increase as the confidence level and period of risk increased, consequently the fund allocated to anticipate risk also increases. VaR method with EVT POT performs superior in comparison to EWMA and GARCH(1,1) models with minimum deviations for IHSG, LQ45 and IDR/USD exchange rate with confidence level of 95% and 99%. Simulation using Basel Amendment 1996 indicates that the cost of risk anticipation for exchange rate IDR/USD was higher than the cost of risk on LQ45 investment during crisis in 1997 and 2008.Permasalahan risiko investasi pada pasar saham Indonesia dan nilai tukar IDR/USD yang berkaitan dengan pengukuran, pengaruh waktu, ketelitian dan pencadangan risiko kerugian menjadi perhatian penelitian ini. Metode VaR dengan 3 model yaitu model EWMA (Exponential Weighted Moving Average), GARCH(1,1) (Generalised Autoregressive Conditional Heteroscedasticity) dan EVT POT (Extreme Value Theory Peak Over Threshold) dan data IHSG, LQ45 dan nilai tukar IDR/USD periode Juli 1994 sampai Juli 2009 digunakan untuk evaluasi risiko pasar. Analisis data menggunakan Eviews 4.1 dan MATLAB 2007b. Program perhitungan VaR dengan Matlab dikembangkan dari karya Nityanand Misra (http://sites.google.com/site/nmisra). Volatilitas atau gejolak (deviasi standar) kurs IDR/USD > IHSG > LQ45 namun sebaliknya deviasi standar imbal hasil LQ45 > imbal hasil IHSG > imbal hasil kurs IDR/USD. Hal ini berarti deviasi standar atau gejolak IHSG yang tinggi tidak memastikan gejolak imbal hasil IHSG yang tinggi. Nilai VaR meningkat karena tingkat keyakinan dan periode pengamatan meningkat, sehingga pencadangan dana antisipasi risiko juga meningkat. Metode VaR dengan model EVT POT mempunyai kinerja paling unggul dibandingkan dengan model EWMA dan GARCH(1,1) dengan penyimpangan minimum untuk data IHSG, LQ45 dan kurs IDR/USD pada tingkat keyakinan 95% dan 99%. Simulasi Amandemen Basel 1996 menunjukkan bahwa saat krisis tahun 1997 dan 2008, biaya antisipasi risiko nilai tukar IDR/USD lebih tinggi daripada biaya antisipasi risiko investasi pada LQ45.
| Item Type: | Thesis (S2) |
|---|---|
| Call Number CD: | CDT-551-10-159 |
| NIM/NIDN Creators: | 55107110064 |
| Uncontrolled Keywords: | 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: | UMMI RAHMATUSSYIFA |
| Date Deposited: | 20 May 2022 03:44 |
| Last Modified: | 14 Jul 2022 03:58 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/61358 |
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