Penggunaan Metode VaR (Value at Risk) dalam Analisis Risiko Investasi Saham dengan Pendekatan Generalized Pareto Distribution (GPD)

Ummi Zuhara, M. Sjahid Akbar, Haryono Haryono
Submission Date: 2012-07-27 10:23:53
Accepted Date: 2013-01-17 08:46:29

Abstract


Investasi di pasar modal bertujuan untuk memperoleh return, sebesar-besarnya dengan risiko tertentu. Pengukuran risiko merupakan hal yang sangat penting berkaitan dengan investasi dana yang cukup besar, sehingga dapat mengurangi terjadinya kerugian berinvestasi. Salah satu metode yang berkembang pesat dan sangat populer dipergunakan saat ini ialah Value at Risk (VaR). Karena pada data finansial diduga mempunyai kecenderungan adanya kasus ekor gemuk (heavy tailed), maka pengukuran risiko dalam penelitian ini dilakukan dengan pendekatan Generalized Pareto Distribution (GPD). Data yang digunakan adalah data saham Semen Gresik dari periode bulan Agustus 2007 sampai bulan Maret 2012. Hasil perhitungan VaR dengan metode GPD diperoleh besar risiko penanaman saham pada Semen Gresik dalam kurun waktu 20 hari ke depan terdapat potensi 1 hari diantaranya investor akan mengalami kerugian minimal Rp. 31.200.000,00.

 


Keywords


Ekor gemuk; GARCH; GPD; VaR

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