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All Journal Jurnal Pengabdian kepada Masyarakat Nusantara RAGAM: Journal of Statistics and Its Application
Indira Ihnu Brilliant
Universitas Negeri Yogyakarta
Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Mathematics Public Health Social Sciences

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VOLATILITY AND VALUE AT RISK ANALYSIS OF BANK RAKYAT INDONESIA STOCK USING THE GJR-GARCH MODEL M. Bagus Hernawan; Indira Ihnu Brilliant
RAGAM: Journal of Statistics & Its Application Vol 5, No 2 (2026): RAGAM: Journal of Statistics & Its Application
Publisher : Universitas Lambung Mangkurat

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20527/ragam.v5i2.18238

Abstract

Shares of PT Bank Rakyat Indonesia (Persero) Tbk (BBRI) are among the leading stocks in the Indonesian capital market, with price movements that tend to be volatile and exhibit heteroskedastic characteristics. This study aims to examine volatility behavior and estimate investment risk of BBRI shares using the GJR-GARCHmodel, as well as to measure risk through the Value at Risk (VaR) approach based on the Cornish-Fisher expansion. The data used consist of daily closing prices of BBRI shares from May 1, 2022 to May 1, 2025, obtained from Yahoo Finance and analyzed using the R programming language. The analytical procedures include return calculation, data characteristic testing, ARIMA modeling, ARCH effect testing, and volatility estimation using the GJR-GARCH model. Forecasting performance is evaluated using Mean Absolute Error (MAE), Mean Squared Error (MSE), and Root Mean Squared Error (RMSE). The results indicate that the GJR-GARCH(1,1) model effectively captures asymmetric volatility effects. VaR estimation using the Cornish-Fisher approach yields risk values of 5.96% at the 99% confidence level, risk values 3.86% at the 95% confidence level, and risk values 2.88% at the 90% confidence level. The 90% confidence level is recommended as it presents the lowest potential risk of loss.
Peningkatan Literasi Statistik Melalui Workshop Analisis Regresi Linier Menggunakan Software JASP Retno Subekti; Kismiantini; Indira Ihnu Brilliant; Andika Putri Ratnasari; Farahhuda Atikah
Jurnal Pengabdian kepada Masyarakat Nusantara Vol. 7 No. 1 (2026): Edisi Januari - April
Publisher : Lembaga Dongan Dosen

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Abstract

Kegiatan pengabdian kepada masyarakat ini bertujuan untuk meningkatkan literasi statistik bagi dosen dan mahasiswa melalui pelatihan analisis regresi linier menggunakan software statistik yang gratis yaitu JASP. Kegiatan dilaksanakan pada tanggal 7–8 Oktober 2025 di Program Studi Demografi dan Pencatatan Sipil UNS secara luring dan daring.  Metode pelaksanaan mencakup ceramah, demonstrasi, dan praktik langsung dengan studi kasus. Hasil evaluasi menunjukkan bahwa seluruh peserta mengalami peningkatan pemahaman, dengan 42,33% peserta menyatakan sangat setuju dan 57,77% menyatakan setuju bahwa peserta memahami materi analisis regresi linier sederhana dan berganda menggunakan JASP. Kegiatan ini memberikan kontribusi positif terhadap peningkatan kemampuan analisis data berbasis software statistik bebas lisensi
Co-Authors Andika Putri Ratnasari Farahhuda Atikah Kismiantini Kismiantini M. Bagus Hernawan Retno Subekti