ANALISIS VALUE AT RISK ASET TUNGGAL DENGAN PENDEKATAN EKSPANSI CORNISH-FISHER MOMEN KELIMA

Nirma Oktaviani (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Di Asih I Maruddani (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Rahmila Dapa (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)

Jurnal Gaussian
Vol 15, No 1 (2026): Jurnal Gaussian

Stocks are tangible proof of ownership in a corporation. In investment, the greater the return obtained, the greater the risk received. Value at risk is used as a risk measurement tool by estimaing the worst loss at a given level of confidence and time stage. VaR generally assumes that the data used meets the assumption of normality. However, data in the field often shows deviations from the assumption of normality due to fluctuating movements. The Cornish-Fisher Expansion is one approach in calculating VaR that does not require normality assumptions. The Cornish-Fisher Expansion method generally takes into account the first 4 quantiles, namely mean, variance, skewness, and kurtosis in VaR predictions. However, in its development this method can be extended beyond the fourth moment. The data used in this study is PT Aneka Tambang Tbk's daily closing stock price data for the period January 4, 2021 to December 31, 2022 totaling 493 data. Calculation results using the Cornish-Fisher Expansion method to the fifth moment show that the estimated value of VaR is higher than the regular Cornish-Fisher Expansion.