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All Journal JURNAL MATEMATIKA STATISTIKA DAN KOMPUTASI BAREKENG: Jurnal Ilmu Matematika dan Terapan Martabe : Jurnal Pengabdian Kepada Masyarakat MES: Journal of Mathematics Education and Science Journal of Science and Technology Mathematics and Applications (MAp) Journal
Rianjaya, Ilham Dangu
Universitas Islam Negeri Imam Bonjol
Agriculture, Biological Sciences & Forestry Arts Humanities Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Education Energy Engineering Mathematics Mechanical Engineering Physics Social Sciences Transportation

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Journal : JURNAL MATEMATIKA STATISTIKA DAN KOMPUTASI

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ANALISIS RISIKO HARGA JUAL EMAS DAN INVESTASI SAHAM ANTAM MENGGUNAKAN EXPECTED SHORTFALL PADA MASA PANDEMI COVID-19 Dwi Sulistiowati; Maya Sari Syahrul; Ilham Dangu Rianjaya
Jurnal Matematika, Statistika dan Komputasi Vol. 17 No. 3 (2021): May, 2021
Publisher : Department of Mathematics, Hasanuddin University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20956/j.v17i3.12779

Abstract

The Covid-19 pandemic caused the price of gold produced by PT Aneka Tambang (Antam) to experience a high increase following the world gold price, while stock investment decreased. Measuring risk is significant in financial analysis; this is related to investment funds, which are quite large and narrow about public funds. This study analyzes the risk data on Antam gold price and Antam stock closing price with an estimated Shortfall (ES). The method used to measure the risk of investing in stocks is ES. ES is the expectation of a conditional loss that exceeds Value at Risk (VaR). To compute ES data showing deviations from normality and Cornish-Fisher expansion. The volatility measurement model used is the autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) model.This study found that the ES value of Antam gold price was smaller than Antam stock price.
Co-Authors Darvi Mailisa Putri Dwi Sulistiowati Eva Binsasi Hasibuan, Lilis Harianti Indah Permata Sari La Ode Nashar La Ode Sabran Mahendra, Fikri Rizky Maya Sari Syahrul Miftah Jannah Miftahul Jannah Miftahul Jannah Mohamad Syafi’i Musthofa, Syarto Norisca Lewaherilla Putri, Amelia Sabran, La Ode Sarbaini Sarbaini Sarbaini Sarbaini Serly Cania Sholih, Ahmad Shubhi Siti Helmyati