Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal JURNAL MATEMATIKA STATISTIKA DAN KOMPUTASI
M. Fariz Fadillah Mardianto
Statistical Modelling for Economic and Social Sciences Research Group, Departement of Mathematics, Faculty of Science and Technology, Universitas Airlangga, Surabaya, Indonesia
Mathematics

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
Value-at-Risk Analysis of PT Bukit Asam Tbk (PTBA) Stock Returns Based on an ARIMA–GARCH Model with a Student-t Distribution Najwa Khoir Aldawiyah; Indana Zulfa Wulandari; Ahmad Wahyu Firmanda; M. Fariz Fadillah Mardianto
Jurnal Matematika, Statistika dan Komputasi Vol. 22 No. 3 (2026): May 2026
Publisher : Department of Mathematics, Hasanuddin University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20956/j.v22i3.49505

Abstract

Stock investment involves substantial risk due to return volatility, which is particularly evident in mining sector stocks such as PT Bukit Asam Tbk (PTBA). This study aims to estimate stock return risk under high volatility and leptokurtic behavior using an ARIMA–GARCH model with a Student-t distribution, focusing on Value-at-Risk (VaR) as a risk measure. Daily PTBA stock return from closing price data from 1 October 2024 to 3 November 2025 were obtained from Investing.com. The best model is ARIMA (0,1,1)–GARCH-t (1,1), with an AIC value of −5.612 and a testing MSE of 0.0000127. The Student-t VaR is estimated at 0.023188 (95%) and 0.046318 (99%), while the Cornish–Fisher approach yields higher VaR values of 0.032674 (95%) and 0.12472 (99%). These results indicate that heavy-tailed volatility models provide more prudent risk estimates and are useful for investment risk management under extreme market conditions.    
Co-Authors Ahmad Wahyu Firmanda Indana Zulfa Wulandari Najwa Khoir Aldawiyah