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All Journal BAREKENG: Jurnal Ilmu Matematika dan Terapan CARADDE: Jurnal Pengabdian Kepada Masyarakat Jurnal Pendidikan Matematika (Jupitek) Jurnal Magister Pendidikan Matematika (JUMADIKA) Science Map Journal Pattimura International Journal of Mathematics (PIJMath) Amalgamasi: Journal of Mathematics and Applications
Bustan, Ariestha Widyastuty
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Chemistry Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Education Energy Engineering Mathematics Mechanical Engineering Physics Social Sciences Transportation

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Journal : Pattimura International Journal of Mathematics (PIJMath)

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Value at Risk Prediction for the GJR-GARCH Aggregation Model Nurhayati, Nurhayati; Apriani, Wiwin; Bustan, Ariestha Widyastuty
Pattimura International Journal of Mathematics (PIJMath) Vol 1 No 1 (2022): Pattimura International Journal of Mathematics (PIJMath)
Publisher : Pattimura University

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (470.401 KB) | DOI: 10.30598/pijmathvol1iss1pp01-06

Abstract

Volatility is the level of risk faced due to price fluctuations. The greater the volatility brings, the greater the risk. We need a measure such as Value at Risk (VaR) and volatility modeling to overcome this. The most frequently used volatility model in the financial sector is GARCH. However, this model is still unable to accommodate the asymmetric nature, so the GJR-GARCH model was developed. In addition, this study also used aggregation returns with two assets in them. This study aimed to determine the VaR prediction for the GJR-GARCH(1.1) aggregation model and its comparison with the GARCH(1.1) aggregation model. The results obtained indicate that the prediction of volatility using the GJR-GARCH(1.1) aggregation model is more accurate than the GACRH(1.1) aggregation model because it has a correct VaR value that is close to the given confidence level.
Co-Authors Akmal Hi Dahlan Andi Fitriawati Anuwar Kadir Abdul Gafur Apriani, Wiwin Gafur, Anuwar Kadir Abdul Hi Dahlan, Akmal Kharie, Diyah Safitri Qammariyah Kharie, Dyah Safitri Qammariyah Laamena, Novita Serly Mahmud, Rauman Mayawi Mustafa A. H. Ruhama, Mustafa A. H. Nurhayati Nurhayati Nurhayati Risky Richlos Sarapung Salmin, Munazat Samsi, Hasan Saputra, Lamanisa Rasid Taufan Talib Umar, Almukmin