PENGHITUNGAN VALUE AT RISK PORTOFOLIO OPTIMUM SAHAM PERUSAHAAN BERBASIS SYARIAH DENGAN PENDEKATAN EWMA
ABSTRACT: The objective of
this research is to examine maximum losses when investor invests on syariah
based stock. Markowitz model is used for constructing the optimal portfolio.
Value at Risk Model is also used for calculating the expected losses. The
research indicates that volatility seems to cluster in a predictable fashion.
Therefore the research forecasts variances used exponentially weighted moving
average (EWMA) model. This research also aims to evaluate whether the EWMA
model can predict variances reasonably well. The data used in this research are
syariah based stock which had been included in Jakarta Islamic Index (JII)
during the year 2005—2006. This research provides that VAR models using an EWMA
forecast are good enough for predicting risk. The number of exception of 508
daily datas are only less than 5% or valid at confident level 95%. As benchmark
we also use historical method and monte carlo simulation to compare performance
of EWMA forecast.
Penulis: Agung Buchdadi
Kode Jurnal: jpakuntansidd080081
