Nusyirwan, Nusyirwan and Ade, Yulian and Aang, Nuryaman (2019) GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY IN MEAN (GARCH-M) MODEL IN STOCK PRICE DATA FOR ESTIMATION OF VALUE AT RISK (VaR). In: SN-SMIAP 5 2019 FMIPA UNILA, 24 Oktober 2019, FMIPA UNILA. (Submitted)
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Abstract
The purpose of this research is to find out the GARCH-M model on the estimation of VaR (Value at Risk) on the closing stock weekly data of PT Gudang Garam Tbk on 2 February 2014 - 11 November 2018. To model this phenomenon, the GARCH-M model is used. Based on the results of the analysis, the best model is obtained AR(1) without constants and GARCH(1.1)-M. The amount of VaR (Value at Risk) at the 95% confidence level in the next period is -0,049702963. If an investor allocates funds as much as Rp100.000.000,00 to invest then there is 5% the opportunity for maximum losses for investors is equal to Rp4.970.296,3.
| Item Type: | Conference or Workshop Item (Paper) |
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| Subjects: | Q Science > QA Mathematics |
| Divisions: | Fakultas Matematika dan Ilmu Pengetahuan Alam (FMIPA) > Prodi Matematika |
| Depositing User: | NUSYIRWAN |
| Date Deposited: | 04 Nov 2019 08:18 |
| Last Modified: | 04 Nov 2019 08:18 |
| URI: | http://repository.lppm.unila.ac.id/id/eprint/15294 |
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