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All Journal Jurnal Ilmu Lingkungan SIGMA EPSILON - Majalah Ilmiah Teknologi Keselamatan Nuklir Jurnal Teknik Lingkungan Jurnal Gaussian Diponegoro Journal of Accounting Jurnal Pendidikan Ekonomi (JUPE) Jurnal Statistika Universitas Muhammadiyah Semarang Jurnal Online Mahasiswa (JOM) Bidang Pertanian JURNAL AKUNTANSI UNIVERSITAS JEMBER Wahana Teknik Sipil: Jurnal Pengembangan Teknik Sipil BISE: Jurnal Pendidikan Bisnis dan Ekonomi INKUIRI : Jurnal Pendidikan IPA Reviews in Civil Engineering Seminar Nasional Lahan Suboptimal Aksara: Jurnal Ilmu Pendidikan Nonformal Agroekotek View Jurnal Pengabdian Masyarakat Multidisiplin Inobis: Jurnal Inovasi Bisnis dan Manajemen Indonesia Journal of Marine and Coastal Science Jurnal Teknik Sipil Terapan JURNAL UMBANUA Jurnal Pengabdian pada Masyarakat Jurnal Bisnis Event Prosiding Seminar Nasional Unimus
Sudarno Sudarno
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Aerospace Engineering Agriculture, Biological Sciences & Forestry Humanities Astronomy Automotive Engineering Biochemistry, Genetics & Molecular Biology Chemistry Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Health Professions Immunology & microbiology Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Materials Science & Nanotechnology Mathematics Mechanical Engineering Medicine & Pharmacology Nursing Physics Public Health Social Sciences Transportation Other

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Journal : Jurnal Gaussian

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PERBANDINGAN PENDEKATAN GENERALIZED EXTREME VALUE DAN GENERALIZED PARETO DISTRIBUTION UNTUK PERHITUNGAN VALUE AT RISK PADA PORTOFOLIO SAHAM Ayu Ambarsari; Sudarno Sudarno; Tarno Tarno
Jurnal Gaussian Vol 5, No 3 (2016): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (662.495 KB) | DOI: 10.14710/j.gauss.v5i3.14692

Abstract

Stock is one of investments that used by investor but often have high risk. So we need to calculate risk assessment for single stock and portfolios. Value at Risk  (VaR) is a tool often used in measuring risk, especially in stock trading. Return stock usually has a fat tail distribution, there is usually a case of  heteroscedasticity. Time series model that used to modeling this condition is Autoregressive Conditional Heteroscedasticity / Generalized Autoregressive Conditional Heteroscedasticity. This study focused on the calculation of VaR using Block Maxima with the approach Generalized Extreme Value/GEV and Peaks Over Threshold approach Generalized Pareto Distribution/GPD. Modeling volatility models of GARCH. Share data used  in the case study is a daily closing PT. Astra International and Panin Financial period January 1st, 2010 – January 22nd,  2016. The result is ARIMA(0,1,1) GARCH(1,2) which is the best model with the smallest AIC. The amount of risk with a confidence level of 95% by GEV is 3,1613%, while the GPD is 3,2761% rupiah from current asset, in other words VaR GPD higher better than GEV.Keywords: Portfolio, Return, Value at Risk (VaR), ARCH/GARCH, Block Maxima, Peaks Over Threshold, GEV, GPD.
Co-Authors Abdul Hoyyi Achmad Tavip Junaedi Ade Lenty Hoya Adimulya Nurrahman Aditya Eka Laksana Adiwirman Adiwirman Afianti Sonya Kurniasari Agung Santoso Agus Sudrajat Ahmad Reza Aditya Ajeng Arum Sari Alan Prahutama Aldila Khairina Sissandhy Alfita Rakhmayani Amin Nursudi Aminuddin Aminuddin Anak Agung Istri Sri Wiadnyani Angga Saputra Desti Anik Waryanti Anissa Pangastuti Anya Amabell Syukuri Arifah Wulansari Ariffandita Nuri Muttaqin Ashri Febrina Rahmasari Atika Elsadining Tyas Avida Anugraheni Avida Nugraheni C. Ayu Ambarsari bagus aji Bambang Wasito Adi Bayu Ariawan Bayyina Zidni Falah Boedi Setya Rahardja Budi Warsito Chiarakania Chaniago Cut Nur Aisyah Darari Rahma Lalita Dedy Haryanto Despriyanti Despriyanti diah novitasari Diah Safitri Dian Ika Pratiwi Dita Oktavia Ningrum Dwi Ispriyansti Dwi Ispriyanti Dwi Safrudin Dwi Siwi Handayani Eka Triakuntini Endang Dewi Masithah Endro Sutrisno Erna Puspitasari evelyn wijaya Farid Abdu Salam Fathimatuzzahra Syahrozad Nuroqi Fatkhan Arissetya Febriane Paulina Makalew Feri Setyowibowo Fifi Puspita Fuad Muhammad Galih Maraseta W H Prasaja Galuh Ayu Prameshti Gusti Rusmayadi Harini Harini Hasbi Yasin Hasmuri Hasmuri Huriyah Huriyah Ibnu Athoillah Irawan Wisnu Wardhana Johan Adi Wicaksana Joko Purnomo Julidian Julidian Julius E. Tenda Junaidi Junaidi Khalida Hanum Khersna Bayu Sangka Khresna Bayu Sangka Kikis Dinar Yuliesti Kristiani Kristiani Kussigit Santosa Lintang Afdianti Nurkhasanah Lulut Fadhilah Lundu Bontor Sihite Luthfi Rachma Dita M. Husni Arifin Maidiah Dwi Naruri Saida Malik Hakam Maluw, Fandel Mamuroh Mamuroh Mardison Purba Mario Moningka Martha Ng Mintasih Indriayu Mintasih Indriayu Moch. Abdul Mukid Mohammad Al Hazmi Mohammad Rama Fadillah Soeroso Muhammad Amin Muhammad Fachri Maulana Mustafid Mustafid Nailatis Shofia Nany Yuliastuti Nesvi Intan Oktajayanti Nonik Brilliana Primastuti Nourma Yulia Nova Yanti Gultom Novi Melawati Nur Aeniatus Solekakh Nur Musrifah Rohmaningsih Pradana Sahid Akbar Pranata Anggakara Priska Rialita Hardani Putu Handoko Murti Putu Jaya Permana Qomaruddin, Mochammad Ramdhan Febrianto Rangkang, Jeanely Retza Bahtiar Anugrah Ridha Ramandhani Ririn Khoiriyah Rita Rahmawati Rizka Asri Brilliani Rizky Ade Putranto Rukun Santoso Rumbayan, Rilya S. Suripin Salman Alfarisy Totalia Sandy Kristiara Sarwanto Sarwanto Satrio Adi Wibowo Sekar Niken Kartika Sheny Nurul Aini Shofiyatul Afidah Sholikhah Septiarti Khusnul Wardatus SITI NURLATIFAH Slamet Effendy Yusuf Sudenroy Mentang Sugito Sugito Suhardjo Suhardjo Sukrismiati Sukrismiati Sulton Syafii Katijaya Sunarto Sunarto Suparti Suparti Supriyanto Supriyanto Sutrisno Anggoro Syanne Pangemanan Tampanatu P. F. Sompie Tarina Rahmayani Tarno Tarno Tatik Widiharih Taufan Fahmi Taufik Dani Testian Yushli Ana Tiani Wahyu Utami Titin Nurfiatin Tri Retnaning Nur Amanah Triastuti Wuryandari Veronika Ellyana Vica Nurani Wahyu Nugraha Widha Sunarno WINARTI WINARTI Winda Rosiana Pratiwi Wulan Merdeka Sari Yanuar Luqman Yovina Mulyadi Yuciana Wilandari