Abstract: 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%.
Keywords: Value at Risk;
Volatility; GARCH
Penulis: INTAN AWYA WAHARIKA,
KOMANG DHARMAWAN, NI MADE ASIH
Kode Jurnal: jpmatematikadd130022
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