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Journal : Parameter: Journal of Statistics

APPLICATION OF THE COPULA FRANK FOR ESTIMATING VALUE AT RISK (VAR) IN TELECOMMUNICATION SUB SECTOR STOCKS Mutiara; Sudarmin; Hafid, Hardianti
Parameter: Journal of Statistics Vol. 5 No. 2 (2025)
Publisher : Fakultas Matematika dan Ilmu Pengetahuan Alam Universitas Tadulako

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22487/27765660.2025.v5.i2.17823

Abstract

Investment is investing capital with the aim of getting money or additional profits. When investing, you need to pay attention to risks that can cause losses for investors. One method that is widely used to measure investment risk is Value at Risk (VaR). VaR often has limitations, especially in capturing non-linear dependencies between variables, so a copula function is needed that can handle moderate to strong dependencies. One of the copulas used is the Archimedian copula with Frank subcopula. This article aims to estimate investment risk using the Value at Risk (VaR) method based on the Frank copula approach and to analyze the dependency structure between stock returns. The main steps in estimating VaR using the Frank copula are calculating the return of each stock, estimating the parameters of the Frank copula, carrying out data simulations using Frank copula parameters, calculating the VaR value using Frank copula. The data used in this research comes from shares of PT. Telkom Indonesia Tbk and shares PT. Indosat Ooredoo Hutchison Tbk. These two stocks have a positive correlation of 0.136. However, such a low correlation may still indicate for non-linear dependencies or tail dependencies that cannot be captured by linear correlations, so additional analysis, namely Frank copula, is required. The estimated Frank copula parameter value is 0.825. From the VaR estimation results, the risk obtained at a 90% confidence level is -0.0222, at a 95% confidence level it is -0.0281 and at a 99% confidence level it is -0.0383.
Co-Authors Abdul Azis Abdul Aziz Abdul Rahman Abdurrahman, Zakaria Husein Abid Al-dizzy Ade Muhammad Mulia Adha, Ikhsan Fauzi Afifah, Fauziah Nur Agnes Monika Simatupang Agus Halim, Agus Ahmad Aswar Ahmil Akaram Alika Ramadhani Almas, Salsabila Amelia Saputri Ranta Andini Sinaga Andre Anita Susmiati Hasibuan Annisa Humaira Annur Fitri Hayati Anugrawati Aqila, Hasna Labibah ARIF RAHMAN Ariyani Kiranasari Ashika Ruth Laura Sirait Aslan Abidin Asqia, Nurul Asrani Astri Ghina Athilya Putri Bakti, Iriani Bayu Eka Kurniawan Bella Puspita Benius Berlianta Siregar Bintara, Chandra Satya Caesare Zafanya Chafifah Nurun An-Nisa M Cibro, Khairunnisa Cita Indira Cristina Midian Cryshanti Febri Dany Try Hutama Hutabarat Daratullaila DAULAY, RAPIQ ANANDA Dedes Asriani Delviani Dewi Dina Fitria Handayani Dwi Noviani Dwiwansyah, Lisa Aditya Eka Hermayani Siregar Eka Poppi Hutami Eka Rokhmiati Elia Putri Elin Hidayat Eni Sumiarsih Enjelina Br Sihombing Erna Hastuti Erniati Eva Nopia Harahap Fadhilaturrahmi Fadhilaturrahmi Fahira Raihani Ananda S Febrianty, Yeni Firly Firmansyah Kusumayadi Fitra Surya, Yenni Fitrah Yuliana Fitri Amanda Fransisca, Zenny Ganda Tua Sitohang Haida Nilfa Halifah, Syarifah Hamizah, Siti Hardianti Hafid Hari Yeni Hariadi, Rudi Hartono, Tania Sunilah Haslinda Hasmawati , Fifi Hasmiati Hasrianti Hendrika, Yan Hermansyah Hidayat Hielda Indriani Putri Hikmah Hisbullah Nurdin Ika Rosen Hutagalung Ilhami, Akmillah Imam Rifaldi Imam Samudra Harahap Irma Herliana Ivoni Amelia JAMALUDIN Jefri Anto Simanungkalit Jelita Harahap Jhosua Hutagalung Jihan Farisa Kaharuddin Kania Salsabilah Daulay Kathleen Julietta Tri Lude Kevin Jonatan Siboro Khafizah Khoiriyah, Anggi Kristina , Parista Kurnia Kurniati Kusumawati, Lia Lestari, Amanda Levi Martantina Lina Amelia Lolok, Nikeherpianti Lubis, Shofia Adha M, Usman Maghfira, Suci Mahmud, Mardillah Maila, Jingga Fitria Malahayati Manna Dey Mardeli Marlisa Martina Apriani Sinaga Masyuni Siregar Matasa, Fitria Wahyu Ningrum Mayumi Meita Larasati Mirna Pohan Misna Mono Muchtar, Choiriyah Mudein Mufarizuddin Muh. Ruslan Abdullah Muh. Yunan Putra Muhammad Nawir Muhammad Soleh Afandi Siregar Mutia Mulyani Najib, Marhawati Nasir Nasution, Arya Cahya Nasywa, Jauzatu Nelly Septiana Hutagalung Nenni Lubis Ni Wayan Ulantari Nina Sintya Bella Novia Nur Akhillah Nur Azkiah Hady Putri Nur Fika Herlina Nurfitria Manik Nurhikmah Nurlaily Syam Nurman Ginting Nurul Rizki Rahmadani Nur’ani Ocsilia Imel Patibang Pardede, Dinda Julita Pertiwi Kamariah Hasis Prasetyo, Aris Budi Prenando , Hari Puteri, Marsya Alivia Putri, Soffy Aura Rafael Purvance Hasnan Cannavaro Rahmayani Rahmi Rismayani Deri Rani, Afriza Rahma Rauddin Regianta Audri Wulandari Rhamadani, Fitrah Riani, Shofia Ribka Simanullang Ridho Gani Muhammad Nur Ridwan Rifandi Pane Rifa’ah Mahmudah Bulu Rila Setyaningsih Riska Riska Amalya Nasution Risnawaty Rita Dwi Putri Ritonga, Fauziah Rizqiyyah, Maya Fathiyyatur Rohima sakila Rozi Thoyyiba Tampi Rusmansyah Muhammad Sabir safier Saftina Saftina Sahmadi Harahap Sakina Salma Hassya Sam Hermansyah Sandra Sept Sartika Dewi Saumi, Fazrina Selviae Septia, Hidayatul Dwi Shofiyah Siana Sikumbang, Nandra Astuti Siska Yulia Defitri Siti Aisyah Siwi Uswatun Sudarmin Suherman Suji’ah, Uju Suliyanto Suryadi Syahrul Pratama Syaiful Syahrir Tahara Dilla Santi Tahir, Sumiati Tania, Tryna Teguh Irawan Tiara Titok Wilyanzah Try Gustaf Said Umar Useng, Yusuf Utri Siregar Wanda Astian Wardiati, Wardiati Widia Fransiska Wiranto, Edy WULANDARI Yani Rianti Yeza Windana Yoan Putri Kalista Yulis Indriyani Yunirma Zahra, Gisya Ainnaya Ziadah, Maydinar Zylfa Ummi Kalsum