Peramalan Return dan Estimasi Value at Risk Saham UNVR Menggunakan Model Asymmetric GARCH

Elvaretta, Lucretia Refine (2024) Peramalan Return dan Estimasi Value at Risk Saham UNVR Menggunakan Model Asymmetric GARCH. Diploma thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Sektor consumer goods menjadi pilihan investor sejak awal 2023 akibat dari pemulihan setelah pandemi. PT Unilever Indonesia Tbk (UNVR) mencatatkan kapitalisasi pasar terbesar di antara jajaran perusahaan FMCG Indonesia lainnya dengan pendapatan dan laba bersih yang diperkirakan naik seiring tumbuhnya aktivitas konsumsi masyarakat. Adanya potensi menguntungkan, investasi saham UNVR juga membawa risiko. Semakin tinggi nilai return yang diharapkan, semakin tinggi pula potensi risiko yang harus dihadapi oleh investor. Fokus penelitian ini adalah peramalan return saham UNVR yang dihitung menggunakan model GARCH asimetris, yaitu EGARCH dan TGARCH yang diduga dapat memberikan hasil model paling sesuai, dilanjutkan analisis estimasi risiko yang dilakukan menggunakan metode Value at Risk (VaR) terhadap peramalan nilai return saham. Penelitian ini diharapkan dapat memberi informasi kepada investor dalam mempertimbangkan keputusan pembelian saham UNVR. Hasil yang didapat ialah, model terbaik EGARCH (1,2) meramalkan return saham UNVR dengan hasil ramalan return tertinggi 0,00124 pada hari ke-3 (3 November 2023) dan terendah -0,00386 pada hari ke-5 (5 November 2023). Estimasi risiko menggunakan Value at Risk menunjukkan risiko kerugian terkecil dan terbesar pada investasi Rp10.000.000 masing masing pada hari ke-3 dengan maksimal kerugian sebesar Rp427.041 dan hari ke-30 maksimal kerugian sebesar Rp719.197 dengan tingkat risiko 5%. Uji Backtesting dengan Kupiec test menunjukkan Value at Risk valid dalam pengukuran risiko UNVR dengan tingkat signifikan 5%.
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The consumer goods sector has been the choice of investors since early 2023 due to the recovery after the pandemic. PT Unilever Indonesia Tbk (UNVR) recorded the largest market capitalization among other Indonesian FMCG companies with revenue and net profit expected to increase in line with the growth of public consumption activities. With the potential to be profitable, UNVR stock investment also carries risks. The higher the expected return, the higher the potential risk that must be faced by investors. The focus of this study is forecasting UNVR stock returns calculated using asymmetric GARCH models, namely EGARCH and TGARCH which are thought to provide the most suitable model results, followed by risk estimation analysis carried out using the Value at Risk (VaR) method on forecasting stock return values. This research is expected to inform investors in considering the decision to buy UNVR shares. The best model EGARCH (1.2) predicts the return of UNVR shares with the highest predicted return of 0.00124 on day 3 (November 3, 2023) and a low of -0.00386 on day 5 (November 5, 2023). Risk estimation using Value at Risk shows the smallest and largest risk of loss on an investment of IDR 10,000,000 each on the 3rd day with a maximum loss of IDR 427,041 and the 30th day with a maximum loss of IDR 719,197 with a risk level of 5%. Backtesting with Kupiec test shows Value at Risk valid in UNVR risk measurement with a significant level of 5%.

Item Type:	Thesis (Diploma)
Uncontrolled Keywords:	Asymmetric GARCH, Backtesting, Value at Risk.
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HA Statistics > HA30.3 Time-series analysis Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) Q Science > QA Mathematics > QA280 Box-Jenkins forecasting
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Lucretia Refine Elvaretta
Date Deposited:	12 Jun 2024 04:45
Last Modified:	12 Jun 2024 04:45
URI:	http://repository.its.ac.id/id/eprint/107763

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