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Supriatna, Agus
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Journal : Operations Research: International Conference Series

 1 
Estimation of the Value-at-Risk (VaR) Using the TARCH Model by Considering the Effects of Long Memory in Stock Investments Abdul Halim, Nurfadhlina; Supriatna, Agus; Prasetyo, Adhy
Operations Research: International Conference Series Vol. 1 No. 1 (2020): Operations Research International Conference Series (ORICS), March 2020
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v1i1.22

Abstract

Value at Risk (VaR) is one of the standard methods that can be used in measuring risk in stock investments. VaR is defined as the maximum possible loss for a particular position or portfolio in the known confidence level of a specific time horizon. The main topic discussed in this thesis is to estimate VaR using the TARCH (Threshold Autoregressive Conditional Heteroscedasticity) model in a time series by considering the effect of long memory. The TARCH model is applied to the daily log return data of a company's stock in Indonesia to estimate the amount of quantile that will be used in calculating VaR. Based on the analysis, it was found that with a significance level of 95% and assuming an investment of 200,000,000 IDR, the VaR using the TARCH model approach was 5,110,200 IDR per day.
Co-Authors Aan Hasanah Abdul Halim, Nurfadhlina Abdullah, Nurwiyana Abubakar, Syamsuddin Adrian Tawai Agus Suhartono Ahmad, Farah Aulia Akhmad Marhadi Alfian, Atabik Ali Mustopa, Ali Ali, Akbar Apri Wardana Ritonga Apriliani, Isnul Aprilla Adawiyah Ariansyah, Noval Arif, Anugrah asriawal, asriawal Asridiana Awal, Muhammad Azis Hakim Bilqis, Kinanti Andhita Burhan, Faika Desrani, Ayu Dewi Ratnasari Diningsih, Cinde Adia Durahim, Darwis Duwila, Iwan Ediyanto Ermanto, Conrita Fazriah, Siti Sarah Febryana, Fakhirah Mentari Godlif Sianipar Hasfat, Hamsar Hidayat, Muhamad Insan, Siti Rahma Irayani, Surya Iryadi, Firdhayanti Iwan Kurniawan Subagja Jumriani Kalsum, Rahma Sari Kawai, Norimune Lesmana , Hans Lesmana, Hans Liasari, Ira Lilik Rita Lindayani Ms. Rasiah, Ms. Muhammad Saleh Mukmin, Nurhidayah Mulyadi, Agus Musni, Mohammad Jailani Muhammad Nazillah, Avriyani Nugraha, Shafwan Nur Aida, Wanda Nuraziziah, Nuraziziah Nursari, et.al, Hasni Nursari, Hasni Pradani, Tia Prasetyo, Adhy Priyambodo, Ardian Pujiartha, Lalu Agus Putra, Mochamad Aditya Dwi Putri Candia, Hijrah Putri, Nadya Anggara Rachman, Hardina Arisa Alvia Rahim, Eka Rahmah, Nur Aulia Rasiah Rasiah, Rasiah Ristiani, Ida Yunari Ritonga, Apri Wardan Sainuddin Santoso, Ervina Noviyanti Sasadara Hayunira Septa, Badai Sitanaya, Rini SITI MARYAM Sofian, Nur Israfyan Suriati, Nurmin Syamsuddin Syamsuddin Trianti Nugraheni Wahju Purwaningsih, Roosi Wahyudadi, Badai Septa Wardana, Adhitya Widyastuti, Nugraheni Wulandari, Nurfadila Zainuddin, Zainuddin