Syah Alam, Aldi (2025) Estimasi Risiko Investasi Saham Perusahaan Sektor Perbankan Menggunakan Value-at-Risk Dan Conditional Value-at-Risk Dengan Pendekatan EGARCH Dan Extreme Value Theory. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Saham perbankan sebagai salah satu sektor utama di pasar modal memiliki karakteristik volatilitas yang tinggi, yang dapat dipengaruhi oleh berbagai faktor, termasuk kondisi makroekonomi dan kebijakan moneter. Dalam konteks ini, pemahaman terhadap risiko pasar saham perbankan menjadi krusial bagi investor dan regulator. Penelitian ini bertujuan untuk menganalisis risiko pasar saham perbankan yang terdaftar di Bursa Efek Indonesia (BEI) menggunakan pendekatan Extreme Value Theory (EVT) dengan metode Block Maxima dan model EGARCH. Data yang digunakan adalah harga penutupan harian saham BBCA dan BMRI dalam periode 1 Januari 2021 hingga 31 Desember 2024. Perhitungan Value at Risk (VaR) dan Conditional Value at Risk (CVaR) dilakukan untuk mengukur risiko yang dihadapi oleh investor. Metodologi yang diterapkan mencakup analisis statistik deskriptif, pengujian stasioneritas, pemodelan ARIMA untuk return saham, serta penerapan model EGARCH untuk menangkap volatilitas asimetris. Selanjutnya, EVT digunakan untuk menangkap karakteristik heavy tail dalam distribusi return saham. Evaluasi model dilakukan dengan backtesting untuk memastikan keakuratan perhitungan risiko. Hasil penelitian ini diharapkan dapat memberikan wawasan bagi investor dan regulator dalam memahami serta mengelola risiko pasar saham perbankan di Indonesia.
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Banking stocks, as a major sector in the capital market, exhibit high volatility, influenced by various factors such as macroeconomic conditions and monetary policies. In this context, understanding banking stock market risk is crucial for investors and regulators. This study aims to analyze the stock market risk of banking stocks listed on the Indonesia Stock Exchange (IDX) using the Extreme Value Theory (EVT) approach with the Block Maxima method and the EGARCH model. The data used consists of daily closing prices of BBCA and BMRI stocks from January 1, 2021, to December 31, 2024. The calculation of Value at Risk (VaR) and Conditional Value at Risk (CVaR) is conducted to measure the risk faced by investors. The methodology includes descriptive statistical analysis, stationarity tests, ARIMA modeling for stock returns, and the application of the EGARCH model to capture asymmetric volatility. Furthermore, EVT is used to identify the heavy tail characteristics in the stock return distribution. Model evaluation is carried out through backtesting to ensure the accuracy of risk estimation. The results of this study are expected to provide insights for investors and regulators in understanding and managing stock market risk in Indonesia.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Value at Risk (VaR), Conditional Value at Risk (CVaR), EGARCH, Extreme Value Theory (EVT), Block Maxima, Risiko Pasar, Saham Perbankan ============================================================ Value at Risk (VaR), Conditional Value at Risk (CVaR), EGARCH, Extreme Value Theory (EVT), Block Maxima, Market Risk, Banking Stocks |
| Subjects: | H Social Sciences > HG Finance > HG4012 Mathematical models H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4915 Stocks--Prices |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis |
| Depositing User: | Aldi Syah Alam |
| Date Deposited: | 01 Aug 2025 07:17 |
| Last Modified: | 01 Aug 2025 07:17 |
| URI: | http://repository.its.ac.id/id/eprint/125571 |
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