Open AccessMENAKSIR VALUE AT RISK (VAR) PORTOFOLIO PADA INDEKS SAHAM DENGAN METODE PENDUGA VOLATILITAS GARCH
Author(s) -
Intan Awya Waharika,
Komang Dharmawan,
Ni Made Asih
Publication year - 2013
Publication title -
e-jurnal matematika
Language(s) - English
Resource type - Journals
ISSN - 2303-1751
DOI - 10.24843/mtk.2013.v02.i01.p022
Subject(s) - autoregressive conditional heteroskedasticity , value at risk , stock exchange , mathematics , econometrics , stock (firearms) , economics , statistics , risk management , geography , finance , volatility (finance) , archaeology
Value at Risk (VaR) is a concept which was used to measure a risk on risk management. VaR explained the worst amount of financial loss in a financial product with the horizon and certain degree of believe. In the calculation of VaR, it was needed a prediction in volality, volality from a series of time which can be homokedasticity (constant) or heterokedasticity (ever changed). Changed volality can be found on the stock and stock index. One of the method which was done in modeling of changed volality was GARCH. In this research, GARCH was used to estimate VaR’s Value from IHSG and LQ45 to be sold in Jakarta Stock Exchange on 4 January to 23 August 2012 (650 observations) VaR can be calculated with a periode of horizon, 1 day, 10 days, and 22 days with the degree of believe 95%