Article Per Year (5 Year)
p-Index From 2021 - 2026
0
P-Index
This Author published in this journals
All Journal Jurnal Gaussian
Lina Tanasya
Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro
Other

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
EXPECTED SHORTFALL DENGAN PENDEKATAN GLOSTEN-JAGANNATHAN-RUNKLE GARCH DAN GENERALIZED PARETO DISTRIBUTION Lina Tanasya; Di Asih I Maruddani; Tarno Tarno
Jurnal Gaussian Vol 9, No 4 (2020): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v9i4.29447

Abstract

Stock is a type of investment in financial assets that are many interested by investors. When investing, investors must calculate the expected return on stocks and notice risks that will occur. There are several methods can be used to measure the level of risk one of which is Value at Risk (VaR), but these method often doesn’t fulfill coherence as a risk measure because it doesn’t fulfill the nature of subadditivity. Therefore, the Expected Shortfall (ES) method is used to accommodate these weakness. Stock return data is time series data which has heteroscedasticity and heavy tailed, so time series models used to overcome the problem of heteroscedasticity is GARCH, while the theory for analyzing heavy tailed is Extreme Value Theory (EVT). In this study, there is also a leverage effect so used the asymmetric GARCH model with Glosten-Jagannathan-Runkle GARCH (GJR-GARCH) model and the EVT theory with Generalized Pareto Distribution (GPD) to calculate ES of the stock return from PT. Bank Central Asia Tbk for the period May 1, 2012-January 31, 2020. The best model chosen was ARIMA(1,0,1) GJR-GARCH(1,2). At the 95% confidence level, the risk obtained by investors using a combination of GJR-GARCH and GPD calculations for the next day is 0.7147% exceeding the VaR value of 0.6925%. 
Co-Authors Di Asih I Maruddani Tarno Tarno