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All Journal Jurnal Ilmu Komunikasi Jurnal Teknologi Informasi dan Ilmu Komputer Proceeding of the Electrical Engineering Computer Science and Informatics Sistemasi: Jurnal Sistem Informasi Jurnal RESTI (Rekayasa Sistem dan Teknologi Informasi) CogITo Smart Journal Technomedia Journal JIPI (Jurnal Ilmiah Penelitian dan Pembelajaran Informatika) Jurnal Teknologi Informasi dan Pendidikan Jurnal Teknologi Informasi dan Multimedia SKANIKA: Sistem Komputer dan Teknik Informatika Jurnal Teknik Informatika (JUTIF) Jurnal Pendidikan dan Teknologi Indonesia Sinar Sang Surya: Jurnal Pusat Pengabdian kepada Masyarakat Jurnal PkM (Pengabdian kepada Masyarakat) Kresna: Jurnal Riset dan Pengabdian Masyarakat Prosiding Konferensi Nasional PKM-CSR Bit (Fakultas Teknologi Informasi Universitas Budi Luhur) Jurnal Ticom: Technology of Information and Communication Telematika MKOM Jurnal Ticom: Technology of Information and Communication Jurnal Pengabdian Masyarakat Tekno Jurnal Pengabdian Masyarakat Manage Jurnal Riset dan Aplikasi Mahasiswa Informatika (JRAMI)
Utomo Budiyanto
Fakultas Teknologi Informasi, Universitas Budi Luhur
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Analisis Volatility Clustering dan Karakteristik Tail Risk pada Return Emas Antam Indonesia Antika Zahrotul Kamalia; Utomo Budiyanto
Jurnal Riset dan Aplikasi Mahasiswa Informatika (JRAMI) Vol. 7 No. 03 (2026): Jurnal Riset dan Aplikasi Mahasiswa Informatika (JRAMI)
Publisher : Program Studi Teknik Informatika, FTIK, Universitas Indraprasta PGRI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30998/jrami.v7i03.1553

Abstract

This study aims to analyze volatility clustering and tail risk characteristics in Indonesian Antam gold returns. The data used in this study consist of daily Antam gold prices, which are transformed into logarithmic returns. The analytical methods include descriptive statistics, the Jarque-Bera normality test, the Augmented Dickey-Fuller (ADF) stationarity test, Autocorrelation Function (ACF) analysis, the Ljung-Box test, the ARCH-LM test, and tail risk measurement using Historical Value-at-Risk (VaR) and Expected Shortfall (ES). The results show that Antam gold returns are not normally distributed, exhibit fat tails, and indicate the presence of volatility clustering and ARCH effects. The ADF test confirms that the return series is stationary. The VaR and ES measurements indicate potential extreme losses at the 1% and 5% risk levels, while the exceedance results, which are close to the expected risk levels, suggest that the historical VaR approach is reasonably relevant in describing tail risk. These findings confirm that although Antam gold is often considered a safe-haven asset, volatility risk and extreme losses should still be considered in investment decision-making. In addition to providing a statistical overview of Antam gold risk, this study also contributes to the field of Data Science in the context of Computational Finance by providing an analytical foundation for risk feature construction, volatility signal identification, and the development of risk prediction models based on artificial intelligence or machine learning.
Co-Authors Abdul Nasir Abdul Rahman Achmad Solichin Agung Nugraha, Akmal Amalia, Anissa Andhika Putra Cahyono Angga Prasetyo Angga Prasetyo Anindya Putri Pradiptha Anissa Amalia Mulya Anissa Amalia Mulya Antika Zahrotul Kamalia Ari Sujiana ari Arman Dioza Atik Ariesta Bijan Austin Pratama Diajeng Prastyanti Priyadi Fadillah, Arkan Faishal Zoelfiandi Faishal Zoelfiandi Farida Ariyani, Pipin Giri Sarah Mustika Hairil Fiqri Sulaiman Hardjianto, Mardi Hari Soetanto Helmy Yudhistira Putra Megananda Hervita Permata Sari Mirza Sutrisno Mulya, Anissa Amalia Nawiroh Vera Nico Nico Nico Nur Syamsudin, Andi Painem, Painem Pradhana, Axel Novandy Pradiptha, Anindya Putri Pratama, Bijan Austin Puspita Rani Putra, Nurindra Maidha Manggala Retsya Andany Putri Rony, Zahara Tussoleha Rulli Sofansyah Safrina Amini saputro, heru Sartana, Bruri Trya Subandi Subandi Sulaiman, Hairil Fiqri Sutrisno, Mirza Syihabudin Alawi Titin Fatimah Titin Fatimah Triyono, Gandung Umaimah Wahid Wendi Usino Yani Prabowo Yunanto, Rinno Zulfikar, Muhammad Fahmi