Analisis Value at Risk Menggunakan Model Exponentially Weighted Moving Average (EWMA) - Nurul Pratiwi; Susilo Setiyawan (UNISBA Press, 2023)
Abstract. This study aims to measure the maximum potential loss using the Value at Risk method using the Exponentially Weighted Moving Average (EWMA) model for the next day. The data used in this study is secondary data consisting of daily closing stock prices for sector oil, gas and coal listed on the Jakarta Islamic Index (JII) in the form of a time series during the period October 2021-November 2022. The result of this study indicate that the calculation of Value at Risk (VaR) uses the EWMA model with a confidence level of 95%, has a maximum potential loss on one day after investment of 3,33% in PTBA shares, 3,06% in ADRO shares and 2,60% in PGAS shares. This can be interpreted, that investors will not experience losses exceeding the maximum potential loss. The Value at Risk method is valid for measuring risk based on the backtesting test. Abstrak. Penelitian ini bertujuan mengukur potensi kerugian maksimum dengan metode Value at Risk menggunakan model Exponentially Weighted Moving Average (EWMA) selama satu hari kedepan. Data yang digunakan dalam penelitian ialah data sekunder yang terdiri dari harga saham penutupan harian pada sektor oil, gas and coal yang terdaftar di Jakarta Islamic Index (JII) dengan bentuk time series selama periode Oktober 2021-November 2022. Hasil penelitian ini menunjukkan bahwa perhitungan nilai Value at Risk menggunakan model EWMA dengan tingkat kepercayaan 95%, memiliki potensi kerugian maksimum pada satu hari setelah investasi sebesar 3,33% pada saham PTBA, 3,06% pada saham ADRO dan 2,60% pada saham PGAS. Hal tersebut dapat diartikan, bahwa investor tidak akan mengalami kerugian melebihi potensi kerugian maksimum tersebut. Adapun metode Value at Risk valid digunakan dalam pengukuran risiko berdasarkan uji backtesting.