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Journal : International Journal of Data Science, Engineering, and Analytics (IJDASEA)

Geometric Brownian Motion and Value at Risk For Anal-ysis Stock Price Of Bumi Serpong Damai Ltd I Maruddani , Di Asih; Trimono; Aji Riyantoko, Prismahardi; Susrama Masdiyasa, I Gede
IJDASEA (International Journal of Data Science, Engineering, and Analytics) Vol. 1 No. 1 (2021): International Journal of Data Science, Engineering, and Analytics Vol 1, No 1,
Publisher : Universitas Pembangunan Nasional Veteran Jawa Timur

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33005/ijdasea.v1i1.25

Abstract

Investment is one of the activities that last actually attractive to the people of Indonesia. One of the most widely traded financial assets in the capital market is stocks. Stock prices frequently experience challenges to predict changes, so they can increase or decrease at any time. One method that can be applied to predict stock prices is GBM. Then, the risk can be measured using the VaR risk measure. The GBM model is determined to be accurate in predicting the stock price of BSDE.JK, with a MAPE value of 5.17%. By using VaR-HS and VaR CFE, the prediction of risk of loss at the 95% confidence level for the period 06/07/21 is -0.0597 and -0.0623.
Co-Authors Abda Abda Afidria, Zulfa Febi Ajeng Puspa Wardani Aji Riyantoko, Prismahardi Alzam , Muhammad Arsyad Amri Muhaimin Ananta, Aditya Putra Anggie, Erna Novita Anugrah, Muhammad Cahya Raka Ardiani, Ardia Eva Ardra Jamie Hibatullah Ardra Jamie Hibatullah, Genesis Arfiansyah, Muhammad Nabil Putra Arifta, Septia Dini Aryaputra Jagaddatri Auralia, Karina Aviolla Terza Damaliana Baktiar Putri, Milla Akbarany Bhalqis, Anissa Andiar Cokro, Risbuwono Heru Damaliana, Aviolla Terza Dewi, Ni Luh Ayu Nariswari Diana Novitasari, Diana Diyasa, I Gede Susrama Mas Dwi Arman Prasetya Elmaliyasari, Shifa Farhan Syah Putra Wiyono Fatmala, Friza Nur fernando, Mochamad Firman Fiqih Pavita Andharluana Gestyaki, Jacinda Ardina Hadin, Tiara Audrey Anugerah Hayu, Nahda Hibatulah, Ardra Hidayah, Amellia Harmaimun I Maruddani , Di Asih idhom, Mohammad Iffadah, Adhisa Shilfadianis Irawan, Tanaya Anindita Isyanto, Aisyah Kirana Putri Junior, Nouval Arya Kaffi, Laisal Kamila, Rosyidatul Karnaen, Amelia Zafira Kartika Maulida Hindrayani Khairunisa, Adenda Krisnawan Kristanaya, Mirechelin Kusharyadi, M. Nurhadyatullah Kusharyadi, Muhammad Nurhadyatullah Laksana Aryananda, Rangga Maulana, Mohammad Hikmal Maulidya Prastita Syah Melinda Putri Azzahra Mohammad Idhom Muhaimin, Amri Muhammad Nasrudin Najma P., Safira Namira, Alivia Salma Nurdiana, Pinka Ozzari, Nikita Aprilia Pakpahan, Vera Febrianti Pasha, Naufal Ricko Maulana Puti Cresti Ekacitta Putri, Safira Rahmalia rachmanto, Nugroho Fajar Ramadani, Nurmalita Ramadhanti, Amirah Rizky Rhomaningtias, Lina Rizkiyah, Selly Rizqin, Indira Zein Sakhi, Difta Alzena Selayanti, Nabilah Sinulingga, Kevin Brema Saputra Susrama Masdiyasa, I Gede Syaifullah J, Wahyu Syamsiar, Syamsiar Wan Awang, Wan Suryani Westerdam Sean Jatindra, Reagen Witanto, Steffany Marcellia Zufar Abdullah Rabbani