PENGGUNAAN METODE VALUE at RISK UNTUK MENENTUKAN TINGKAT RESIKO INVESTASI PADA SAHAM PT GUDANG GARAM Tbk MELALUI PENDEKATAN MODEL INTEGRATED GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (IGARCH)
Abstract: Heteroscedasticity
in most economic and financial time series data can be overcome by
ARCH / GARCH models.
However, the application
of ARCH / GARCH models has several weaknesses, one
of them is the inability to see the change or transition of behavior
between low volatility and high volatility. Hence, ARCH /
GARCH models are
modified by using
IGARCH models. In the IGARCH
model, stationarity is satisfied if sum
squares of residual coefficients and conditional
variance is 1. IGARCH
model is better than ARCH /
GARCH models. The purpose
of this paper
is to model
the stock price
index that is heteroscedastic
into IGARCH model and to determine the Value at Risk (VaR) of stock price
index for a period
ahead. The data used
in this paper is
stock price return data of PT
Gudang Garam Tbk.
Modeling is settled by forming
ARIMA model as a
mean model, and followed by modeling ARCH / GARCH, and then modeling
conditional variance IGARCH model where the
sum of both parameters
IGARCH number of coefficients equal to one. From the stock
price data of PT Gudang Garam Tbk, we obtained
IGARCH (1, 1) as the best model because it satisfied all assumptions, those
are, parameters which had been significant and squared residuals which had been
white noise. The general form of the IGARCH (1, 1) model is = 3.87 × 10 +
0.104046 + 0.895954ℎ . Value
at Risk (VaR) is obtained
from the formed model for the next 30 days with certain allocated
funds. Therefore, if the allocated funds amounts IDR 1 billion with error rate
of 95%, the level of risk faced by investors who will invest in companies of PT
Gudang Garam Tbk will be IDR 210.420.382,00.
Penulis: Nasrudin MB, Sediono,
Eko Tjahjono
Kode Jurnal: jpmatematikadd130073
