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)
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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