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All Journal MATEMATIKA BAREKENG: Jurnal Ilmu Matematika dan Terapan
Maruddani, Di Asih
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Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Energy Engineering Mathematics Mechanical Engineering Physics Transportation

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VECTOR AUTOREGRESSIVE (VAR) UNTUK PERAMALAN HARGA SAHAM PT INDOFOOD SUKSES MAKMUR Tbk. Maruddani, Di Asih; Safitri, Diah
MATEMATIKA Vol 11, No 1 (2008): JURNAL MATEMATIKA
Publisher : MATEMATIKA

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (105.777 KB)

Abstract

In simultaneous or structural  equation models, if there is true simultaneity among a set of variables, they should not be any apriori distinction between endogenous and exogenous variables. It is in this spirit of the VAR models. We study  stock value simultaneous model at PT Indofood Sukses Makmur Indonesia Tbk, for the period of 1998–2005. Variables in stock value simultaneous models are stock value, Return of Assets (ROA), Debt to Equity Ratio (DER), and Earning Per Share (EPS). The data is obtained from the Indonesian Capital Market Directory, Jakarta Stock Exchange and PT Indofood Sukses Makmur Indonesia Tbk. Financial Statement. The empirical results showed that the variables under consideration can be said to be integrated of order one, and the residuals have independent and normal distribution. With AIC and SC values, we conclude that each equations contains four lag values of Stock Value, ROA, DER, and EPS. The estimated VAR model can be used for forecasting the future values of stock value. In this study, we forecast the stock value from 2006:1 until 2007:12.  
COMPARISON BETWEEN VALUE AT RISK AND ADJUSTED EXPECTED SHORTFALL: A NUMERICAL ANALYSIS Trimono, Trimono; Maruddani, Di Asih
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 3 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss3pp1347-1358

Abstract

Loss risk is one of the variable that always appears in every kind of investment. On stock asset investments, the characteristics of the risk of loss is uncertain, this means that losses can occur at any time with a value that cannot be determined certainly. From this condition, investors must manage the loss risk appropriately in order to retain investment stability and get optimal profits. One of the important processes in risk management is loss risk forecast. Risk forecast can be done using risk measures. In stock investment, Value at Risk (VaR) is the most widely used risk measure because has a simple model and can be applied to many types of stocks. However, VaR does not satisfy the axiom of subadditivity, thus VaR is not a coherent risk measure. Another risk measure that is coherent and can be used as an alternative to predict loss risk is the Adjusted-Expected Shortfall (Adj-ES). This study aims to compare VaR and Adj-ES through numerical analysis and backtesting test. So we can get reference to conclude the best risk measure for predicting losses on stock investments. The data used in this study are 2022 IDX blue chip i. e EXCL.JK and ICBP.JK from 09/01/21 to 09/09/22. Based on the backtesting test, the violation ratio value for Adj-ES in every violation probability is less than 1 is less than 1. Then, for VaR at 1% violation probability, the violation ratio value is > 1.
Co-Authors Diah Safitri Trimono, Trimono