Pengukuran Value At Risk Pada Portofolio Saham Optimal Menggunakan Copula-Garch Dengan Pendekatan Single Index Model

Firdaus, Siti (2022) Pengukuran Value At Risk Pada Portofolio Saham Optimal Menggunakan Copula-Garch Dengan Pendekatan Single Index Model. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Investasi merupakan penanaman uang atau modal dalam suatu perusahaan atau proyek guna memperoleh keuntungan. Diantara sekian banyak sekuritas yang ada, saham menjadi sekuritas yang mengalami kenaikan jumlah investor secara signifikan karena dapat memberikan keuntungan yang cukup besar. Dibalik keuntungan yang besar, terdapat risiko yang harus dihadapi oleh investor. Sehingga, investor perlu menerapkan strategi yang dapat meminimalkan risiko serta mengukur risiko pada portofolio. Dalam penelitian ini dilakukan diversifikasi dan estimasi risiko dengan menggunakan pendekatan Single Index Model, Copula-GARCH, dan Value at Risk. Data yang digunakan adalah data harga penutupan saham bulanan pada saham yang terdaftar pada LQ45 selama periode 1 Desember 2010 hingga 31 Desember 2021. Berdasarkan metode Single Index Model, didapatkan tujuh saham yang masuk dalam portofolio optimal yang terdiri atas saham BBCA (10,48%), BBNI (4,22%), BBRI (24,88%), BBTN (2,41%), BMRI (8,53%), KLBF (21,90%), dan TLKM (27,58%). Setelah itu dilakukan pemodelan Copula-GARCH pada harga penutupan saham bulanan menggunakan lima jenis copula yang terdiri atas Copula Normal, Student-t, Gumbel, Frank, dan Clayton. Didapatkan model copula terbaik untuk ketujuh saham yaitu Copula Student-t dengan nilai maximum log�likelihood sebesar 92,42. Hasil estimasi Value at Risk pada tingkat kepercayaan 95% menggunakan simulasi Monte Carlo berdasarkan model Copula Student-t menunjukkan angka kerugian maksimum sebesar 0,0439. Hal ini berarti bahwa kemungkinan kerugian yang dihadapi investor tidak akan melebihi 0,0439 bagian dari modal investasi. Semakin besar tingkat kepercayaan yang digunakan, maka semakin besar pula nilai Value at Risk.
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Investment is the dedication of money or capital in a company or project in order to make a profit. Among the many existing securities, stocks are securities that have experienced a significant increase in the number of investors because they can provide quite large profits. Behind the large profits, there are risks that must be faced by investors. Thus, investors need to implement strategies that can minimize risk and measure risk in the portfolio. In this study, diversification and risk estimation were carried out using the Single Index Model, Copula�GARCH, and Value at Risk approach. The data used is monthly stock closing price data on stocks listed on LQ45 during the period December 1, 2010 to December 31, 2021. Based on the Single Index Model method, seven stocks are included in the optimal portfolio consisting of BBCA shares (10.48%) , BBNI (4.22%), BBRI (24.88%), BBTN (2.41%), BMRI (8.53%), KLBF (21.90%), and TLKM (27.58%). After that, the Copula-GARCH modeling was carried out on the monthly closing price of shares using five types of copulas consisting of Normal Copula, t-Student, Gumbel, Frank, and Clayton. The best copula model for the seven stocks was obtained, namely the Copula t-Student with a maximum log-likelihood value of 92,42. The estimation result of Value at Risk at 95% confidence level using Monte Carlo simulation based on the Copula t-Student model shows a maximum loss of 0,0439. This means that the possible losses faced by investors will not exceed 0,0439 part of the investment capital. The greater the level of trust used, the greater the value at risk.

Item Type:	Thesis (Other)
Additional Information:	RSAk 658.155 Fir p-1 2022
Uncontrolled Keywords:	portofolio, Single Index Model, Copula, GARCH, Value at Risk
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
Divisions:	Faculty of Mathematics, Computation, and Data Science > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Mr. Marsudiyana -
Date Deposited:	22 Nov 2024 03:49
Last Modified:	22 Nov 2024 03:49
URI:	http://repository.its.ac.id/id/eprint/115821

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