Estimasi Value at Risk (VaR) pada Portofolio Saham dengan Copula

Novella Putri Iriani, Muhammad Sjahid Akbar, Haryono Haryono
Submission Date: 2013-08-21 15:44:51
Accepted Date: 2013-09-20 17:25:40

Abstract


Investasi merupakan salah satu cara yang banyakdilakukan orang untuk mencapai keuntungan di masa mendatang. Saham sebagaisalah satu financial asset menjadisalah satu alternatif banyak orang untuk melakukan investasi. Return yang diperoleh dalam berinvestasisaham lebih tinggi dibandingkan berinvestasi pada perbankan, maka resiko yangditanggung apabila seseorang berinvestasi saham juga lebih tinggi. Penelitianini menggunakan metode Copula untuk mengestimasi Value at Risk (VaR)  pada returnsaham Indofood Sukses Makmur (INDF), Telekomunikasi Indonesia (TLKM), GudangGaram (GGRM), Bank Rakyat Indonesia (BBRI), dan Astra International (ASII) padaperiode 1 September 2005 hingga 30 November 2010. Penelitian ini menggunakanpemodelan ARMA-GARCH untuk mendapatkan residual GARCH (1,1) yang selanjutnyadigunakan untuk pemodelan copula dan estimasi VaR. Penelitian ini menunjukkan bahwa pemodelan copula claytonsebagai model copula terbaik mampu menangkap heavy tail lebih baik berdasarkan VaR yang dihasilkan.

Keywords


Copula; GARCH; return; resiko

Full Text: PDF

CC Licencing


Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).

Refbacks

  • There are currently no refbacks.


Lembaga Penjaminan Mutu, Pengelolaan dan Perlindungan Kekayaan Intelektual (LPMP2KI) ITS
Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.