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ESTIMASI RISIKO PORTOFOLIO SAHAM MENGGUNAKAN METODE VALUE-AT-RISK (VaR) DENGAN PENDEKATAN GARCH-COPULA

Year: 2024

Type: article

Abstract: Indonesia's economic development has recently experienced turmoil due to the pandemic Covid-19 which affects capital market condition, so it is necessary to analyze characteristics of stock prices and returns also the investment risks. Investment risk measurement using Value at Risk (VaR) estimation will be determined by simulation Monte Carlo with GARCH-Copula approach. This research will use BRPT and ICBP stock data for the period before the Covid-19 pandemic, January 2, 2017 - February 28, 2020 and the period after the Covid-19 pandemic, March 2, 2020 - February 28, 2023.The best model of copula on the period before the Covid-19 pandemic is Frank copula and for the period after the Covid-19 pandemic is Clayton copula. Using the selected model, an accurate VaR based on back testing result for the period before the Covid-19 pandemic is -0.01973782 and the period after the Covid-19 pandemic is -0.02353096.

Source: Jurnal Gaussian

DOI: 10.14710/j.gauss.13.2.328-338

Authors: Afifah Nurul Farikha, Agus Rusgiyono, Triastuti Wuryandari

Institution: Diponegoro University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4407112294

FWCI: 0.365

Cites:

Cited by: 1

Related to: 10