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All Journal Al-Kharaj: Jurnal Ekonomi, Keuangan & Bisnis Syariah Annusfy
Mafruhah, Siti Lailatul
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Religion Agriculture, Biological Sciences & Forestry Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Industrial & Manufacturing Engineering Social Sciences Other

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Analisis Volatilitas Return Saham Bank Syariah Indonesia (BSI) dengan Pendekatan GARCH Mafruhah, Siti Lailatul
Annusfy : Journal of Multidisciplinary Research Vol. 1 No. 4 (2025): December 2025, Annusfy
Publisher : Jaanur Elbarik Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.65065/y05jp661

Abstract

This study aims to model the daily return volatility of Bank Syariah Indonesia (BSI) in order to understand the characteristics of investment risk in the Islamic banking sector following the merger. Given that financial data often exhibit heteroskedasticity (non-constant variance) and volatility clustering, the use of standard linear models tends to produce biased results. To address this, the study employs Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized ARCH (GARCH) methods, utilizing 948 daily log-return observations. The analytical procedures include the Augmented Dickey-Fuller (ADF) stationarity test, the ARCH effect test, and model selection based on information criteria. The findings indicate that BSI stock returns are stationary at the level form. Diagnostic testing confirms the presence of ARCH effects. Based on the Log Likelihood and Akaike Information Criterion (AIC), the GARCH(1,1) model is identified as the best-fitting specification compared to ARCH(1) and GARCH(1,1)-MA. Parameter estimation reveals a high degree of volatility persistence (α+β=0.92), suggesting that market shocks exert long-term effects on the risk profile of BSI stock.
Analisis Risiko Pasar Saham Syariah JII dengan Value at Risk dan Expected Shortfall Mafruhah, Siti Lailatul; Tamami, Imam; Qorib, Didik Fathul
Al-Kharaj: Jurnal Ekonomi, Keuangan & Bisnis Syariah Vol. 8 No. 2 (2026): Al-Kharaj: Jurnal Ekonomi, Keuangan & Bisnis Syariah
Publisher : Intitut Agama Islam Nasional Laa Roiba Bogor

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47467/alkharaj.v8i2.11389

Abstract

                This study measures market risk in the Jakarta Islamic Index (JII) portfolio by comparing Value at Risk (VaR) and Expected Shortfall (ES). Daily return data from 2020–2025 exhibit extreme leptokurtic distribution (kurtosis >12), making the normality assumption underlying VaR inadequate. The findings reveal that ES, particularly under the Historical Simulation approach, provides more conservative and realistic risk estimates than VaR. At the 99% confidence level, ES captures an average extreme loss of IDR 48 million, substantially higher than VaR predictions. These results highlight ES as a more appropriate risk metric for Sharia-compliant investors, especially in stress testing and risk capital allocation.
Co-Authors Qorib, Didik Fathul Tamami, Imam