Pengukuran Value At Risk Portofolio Menggunakan ARIMA Dengan Pendekatan Single Index Model Dan Constant Correlation Model Pada Saham Sektor Pariwisata

Dharmapatni, Ni Putu Chandrika (2024) Pengukuran Value At Risk Portofolio Menggunakan ARIMA Dengan Pendekatan Single Index Model Dan Constant Correlation Model Pada Saham Sektor Pariwisata. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pariwisata telah menjadi industri yang semakin populer di Indonesia, menarik minat investor untuk berinvestasi di sektor pariwisata. Namun, dampak pandemi COVID-19 sangat memengaruhi perusahaan-perusahaan dalam sektor ini, khususnya pasca pandemi. Saham-saham sektor pariwisata sensitif terhadap kondisi industri pariwisata, termasuk pandemi. Penelitian ini bertujuan untuk menganalisis investasi saham sektor pariwisata di Bursa Efek Indonesia pasca pandemi COVID-19 menggunakan metode ARIMA dengan model Single Index dan Constant Correlation Model untuk mengoptimalkan portofolio saham, serta Value at Risk (VaR) khususnya metode Historical Simulation untuk mengukur risiko. Penelitian ini melibatkan data saham sektor pariwisata periode 2019-2023. Hasil pembentukan portofolio optimal berdasarkan Single Index Model terbentuk dari tiga saham yaitu JIHD dengan bobot yaitu sebesar 3%, saham SHID dengan bobot sebesar 69%, dan saham PNSE dengan bobot sebesar 27%, Kemudian untuk hasil portofolio optimal berdasarkan Constant Correlation Model terbentuk dari empat saham dengan proporsi masing-masing diantara lain saham JIHD dengan nilai bobot sebesar 7%, saham MAPB dengan nilai bobot sebesar 22%, saham PANR dengan nilai bobot sebesar 48%, dan saham PNSE dengan nilai bobot sebesar 22%. Hasil terbaik dari estimasi return portofolio dari single index model dan constant correlation model didapatkan bahwa portofolio constant correlation model lebih direkomendasikan untuk berinvestasi karena dari hasil return peramalan, metode CCM mempunyai return yang positif, sedangkan SIM memiliki return negatif. Estimasi nilai Value at Risk Historical Simulation pada portofolio saham yang terbentuk dari Single Index Model pada tingkat kepercayaan 90%, 95%, dan 99% secara berurutan adalah sebesar -0,02829, -0,04695, dan -0,06506. Kemudian untuk estimasi nilai dari Constant Correlation Model pada tingkat kepercayaan 90%, 95%, dan 99% secara berurutan adalah sebesar -0,02759, -0,03399, dan -0,04871.
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Tourism has become an increasingly popular industry in Indonesia, attracting investors to invest in the tourism sector. However, the impact of the COVID-19 pandemic has greatly affected companies in this sector, especially after the pandemic. Tourism sector shares are sensitive to conditions in the tourism industry, including the pandemic. This research aims to analyze stock investment in the tourism sector on the Indonesian Stock Exchange after the COVID-19 pandemic using the ARIMA method with the Single Index model and Constant Correlation Model to optimize the stock portfolio, as well as Value at Risk (VaR), especially the Historical Simulation method to measure risk. This research involves tourism sector stock data for the 2019-2023 period. The results of forming an optimal portfolio based on the Single Index Model are formed from three shares, namely JIHD with a weight of 3%, SHID shares with a weight of 69%, and PNSE shares with a weight of 27%. Then the optimal portfolio results based on the Constant Correlation Model are formed from four shares with respective proportions include JIHD shares with a weight value of 7% each, MAPB shares with a weight value of 22%, PANR shares with a weight value of 48% each, and PNSE shares with a weight value of 22% . The best results from estimating portfolio returns from the single index model and the constant correlation model were that the portfolio constant correlation model was more recommended for investing because from the results of return forecasting, the CCM method had a positive return, while the SIM had a negative return. The estimated Value at Risk Historical Simulation value for the stock portfolio formed from the Single Index Model at the 90%, 95%, and 99% confidence levels is -0.02829, -0.04695, and -0.06506, respectively. Then the estimated values from the Constant Correlation Model at the 90%, 95%, and 99% confidence levels are -0.02759, -0.03399, and -0.04871, respectively.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Constant Correlation Model, Historical Simulation Method, Portofolio, Single Index Model, Value at Risk = Constant Correlation Model, Historical Simulation Method, Portofolio, Single Index Model, Value at Risk
Subjects:	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 Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	NI PUTU CHANDRIKA DHARMAPATNI
Date Deposited:	30 Jul 2024 14:11
Last Modified:	30 Jul 2024 14:11
URI:	http://repository.its.ac.id/id/eprint/110049

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