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All Journal International Journal of Business, Economics, and Social Development International Journal of Research in Community Services International Journal of Quantitative Research and Modeling Jurnal Matematika Integratif
Alit Kartiwa
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Humanities Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Languange, Linguistic, Communication & Media Mechanical Engineering Physics Social Sciences Transportation Other

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Journal : International Journal of Quantitative Research and Modeling

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THE GARCH MODEL VOLATILITY OF SHARIA STOCKS ASSOCIATED CAUSALITY WITH MARKET INDEX Endang Soeryana Hasbullah; Endang Rusyaman; Alit Kartiwa
International Journal of Quantitative Research and Modeling Vol 1, No 1 (2020)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (372.5 KB) | DOI: 10.46336/ijqrm.v1i1.3

Abstract

The purpose of this paper is to examine the volatility of Islamic stocks related to the causality of the composite stock price index (CSPI). The aim is to investigate the causality of several levels of stock returns with the movement of the CSPI, and determine its volatility as a measure of risk. To determine the causality relationship is done by using the granger causality test method, with Vector Autoregressive (VAR) modeling. Whereas to determine the volatility is done using the Generalized Autoregressive Conditional Heteroscedastisiy (GARCH) model approach. The results of the causality test show that there is a direct relationship that affects and is influenced by the CSPI, and the relationship that affects each other between the company's stock market and the movement of the CSPI. While the volatility follows the GARCH model (1, 1). Based on the results of this study are expected to be used as consideration in making investment decisions in the analyzed stocks.
A GARCH APPROACH TO VaR CALCULATION IN FINANCIAL MARKET Nurfadhlina Abdul Halim; Endang Soeryana; Alit Kartiwa
International Journal of Quantitative Research and Modeling Vol 1, No 1 (2020)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (283.537 KB) | DOI: 10.46336/ijqrm.v1i1.5

Abstract

Value at Risk (VaR) has already becomes a standard measurement that must be carried out by financial institution for both internal interest and regulatory. VaR is defined as the value that portfolio will loss with a certain probability value and over a certain time horizon (usually one or ten days). In this paper we examine of VaR calculation when the volatility is not constant using generalized autoregressive conditional heteroscedastic (GARCH) model. We illustrate the method to real data from Indonesian financial market that is the stock of PT. Indosat Tbk.
Co-Authors Diah Chaerani Dwi Susanti Endang Rusyaman Endang Soeryana Endang Soeryana Hasbullah Forman Ivana S.S.S. Heri setiawan Iin Irianingsih Komar Komar Mochamad Suyudi Munadi Munadi Nurfadhlina Abdul Halim Nurfadhlina bt Abdul Halima Riaman Riaman Yasir Salih