Open AccessGeometric Brownian Motion and Value at Risk For Analysis Stock Price Of Bumi Serpong Damai Ltd
Author(s) -
Trimono Trimono,
Di Asih I Maruddani,
Prisma Hardi Aji Riyantoko,
I Gede Susrama Mas Diyasa
Publication year - 2021
Publication title -
international journal of data science, engineering, and analytics
Language(s) - English
Resource type - Journals
eISSN - 2807-1689
pISSN - 2798-9208
DOI - 10.33005/ijdasea.v1i1.3
Subject(s) - econometrics , stock (firearms) , value at risk , economics , geometric brownian motion , stock market , financial economics , monetary economics , risk management , economy , finance , geography , context (archaeology) , archaeology , diffusion process , service (business)
Investment is one of the activities that last actually attractive to the people of Indonesia. One ofthe most widely traded financial assets in the capital market is stocks. Stock prices frequently experiencechallenges to predict changes, so they can increase or decrease at any time. One method that can be appliedto predict stock prices is GBM. Then, the risk can be measured using the VaR risk measure. The GBM model isdetermined to be accurate in predicting the stock price of BSDE.JK, with a MAPE value of 5.17%. By usingVaR-HS and VaR CFE, the prediction of risk of loss at the 95% confidence level for the period 06/07/21 is-0.0597 and -0.0623