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All Journal KONTAN: Jurnal Ekonomi, Manajemen dan Bisnis
Nurhaliza, Alvia
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Economics, Econometrics & Finance

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Evaluasi Akurasi Value at Risk Metode Simulasi Historis melalui Backtesting pada Saham BBCA Tahun 2024 Nurhaliza, Alvia; Saputra, Andri; Mirtawati, Mirtawati
KONTAN: Jurnal Ekonomi, Manajemen dan Bisnis Vol 4, No 3 (2025): KONTAN: Jurnal Ekonomi, Manajemen dan Bisnis
Publisher : CV Widina Media Utama

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59818/kontan.v4i3.2269

Abstract

This study examines the accuracy of Historical Simulation Value at Risk for short-term BBCA stock investment (January-December 2024). Using 235 daily data points, daily VaR values of 2.257% (95% confidence) and 3.400% (99%) were obtained. Actual violations (11 and 2 days) aligned with model predictions. Kupiec backtesting confirmed model accuracy (  0.05). Results demonstrate the method's effectiveness in capturing tail risk without normality assumptions. For practical implications, investors are advised to adopt 95% VaR as a daily loss-cutting threshold, while financial institutions should supplement it with stress testing. ABSTRAKPenelitian ini bertujuan menganalisis akurasi Value at Risk Historical Simulation untuk investasi saham jangka pendek BBCA (Januari-Desember 2024). Berdasarkan 235 data harian, diperoleh VaR harian 2,257% (tingkat kepercayaan 95%) dan 3,400% (99%). Pelanggaran aktual (11 dan 2 hari) konsisten dengan prediksi model. Backtesting menggunakan Kupiec Test mengonfirmasi akurasi model (p-value 0,05). Hasil menunjukkan keunggulan simulasi historis dalam menangkap tail risk tanpa asumsi distribusi normal. Implikasinya, investor disarankan menggunakan VaR 95% sebagai acuan cut loss harian, sementara lembaga keuangan dapat mengombinasikannya dengan stress testing.
Co-Authors Fachry Abda El Rahman mirtawati, mirtawati