Perbandingan Volatilitas Saham dengan menggunakan Metode EWMA, GARCH, dan EGARCH dalam Pembentukan Portofolio Optimal

Maheresmi, Azkanisa Pradipta (2023) Perbandingan Volatilitas Saham dengan menggunakan Metode EWMA, GARCH, dan EGARCH dalam Pembentukan Portofolio Optimal. Other thesis, Institut Teknologi Sepuluh Nopember.

Text 06311940000080-Undergraduate_Thesis.pdf - Accepted Version Restricted to Repository staff only until 1 September 2025. Download (3MB) | Request a copy

Abstract

Sebagai seorang investor tentunya mengharapkan keuntungan dalam berinvestasi. Salah satu investasi yang banyak digunakan oleh investor yaitu saham. Berinvestasi saham dapat menghasilkan tingkat pengembalian yang tinggi namun juga membawa risiko yang besar (high risk high return). Hal tersebut karena saham bersifat fluktuatif, artinya harga saham bisa naik dan bisa juga turun. Pergerakan harga saham dapat diukur dengan mencari nilai volatilitas harga saham. Saham yang digunakan dalam penelitian ini yaitu indeks LQ45 periode 4 Februari 2020 - 27 Januari 2023, yaitu sebanyak 30 saham. Dalam mencari nilai volatilitas dapat menggunakan metode Exponentially Weighted Moving Average (EWMA) dan metode Generalized Conditional Heteroskedasticity (GARCH). Pada penelitian ini, jika nilai volatilitas memberikan efek asimetris, maka akan digunakan model GARCH asimetris yaitu model Exponential GARCH (EGARCH). Selain mengukur pergerakan harga saham, investor perlu melakukan optimalisasi portofolio. Hal tersebut dilakukan untuk meminimalisir risiko serta mendapatkan return yang optimal. Pembentukan portofolio optimal dilakukan dengan membentuk matriks variance-covariance dan dipilih berdasarkan slope Capital Allocation Line (CAL) tertinggi. Selanjutnya, akan dilakukan analisis value at risk menggunakan Mean Variance Efficient Portofolio (MVEP) dan terakhir akan dilakukan evaluasi kinerja portofolio dari portofolio optimal yang terbentuk. Evaluasi kinerja portofolio pada penelitian ini menggunakan tiga indeks, yaitu indeks sharpe, indeks treynor, dan juga indeks jensen. Hasil penelitian menunjukkan bahwa risk dan return lebih baik dengan metode EWMA dengan nilai expected return portofolio sebesar 0,000653755. Kinerja portofolio optimal yang terbentuk dengan metode EWMA lebih baik dibandingkan dengan metode GARCH dan EGARCH dengan nilai indeks sharpe sebesar 0,013673512, indeks treynor sebesar 0,000573522, dan indeks jensen sebesar 0,000380382. Risiko pasar portofolio optimal yang terbentuk lebih baik menggunakan metode GARCH dengan nilai sebesar Rp26.905.896.
=====================================================================================
As an investor, of course expect profit in investing. One of investment that is widely used by investors is stocks. Investing in stocks can generate a high rate of return but it also carries a large risk (high risk high return). That is because stocks are volatile, meaning stocks price can go up and down. The movement of stocks price can be measured by looking for the value of stocks price volatility. The stocks used in this research are the LQ45 index for period 3 February 2020-30 January 2023, totally 30 shares. When finding the volatility can use Exponentially Weighted Moving Average (EWMA) and Generalized Conditional Heteroskedasticity (GARCH) method. In this research, if the volatility value gives an asymmetrical effect, then an asymmetric GARCH model will be used namely is the Exponential GARCH (EGARCH) model. In addition to measuring stock price movement, investor need to optimize their portfolio. That is to minimize risk and get optimal return. The formation of optimal portfolio is carried out by forming a variance-covariance matrix and selected based on highest slope of Capital Allocation Line (CAL). The next step, value at risk used Mean Variance Efficient Portofolio (MVEP) and a portfolio performance analysis will be carried out from the optimal portfolio that is formed. Portfolio performance analysis in this research used three index, namely sharpe index, treynor index, and jensen index. The results showed that the risk and return were better with the EWMA method with an expected return portfolio value of 0.000653755. The optimal portfolio performance formed by the EWMA method is better than the GARCH and EGARCH methods with a Sharpe index value of 0.013673512, a treynor index of 0.000573522, and a Jensen index of 0.000380382. The optimal market risk portfolio that is formed is better using the GARCH method with a value of IDR 26,905,896.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	EGARCH, EWMA, GARCH, Portofolio Optimal, Volatilitas
Subjects:	Q Science > QA Mathematics > QA401 Mathematical models.
Divisions:	Faculty of Mathematics, Computation, and Data Science > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Azkanisa Pradipta Maheresmi
Date Deposited:	04 Aug 2023 01:37
Last Modified:	04 Aug 2023 01:37
URI:	http://repository.its.ac.id/id/eprint/100780

Actions (login required)

View Item