Optimasi Portofolio Gabungan Saham IHSG Dan Cryptocurrency Menggunakan ARIMA–GARCH–Copula Dalam Kerangka Markowitz

Mikhael, Benaya (2026) Optimasi Portofolio Gabungan Saham IHSG Dan Cryptocurrency Menggunakan ARIMA–GARCH–Copula Dalam Kerangka Markowitz. Other thesis, Institut Teknologi Sepuluh Nopember.

Text 5006201081-Undergraduate_Thesis.pdf - Accepted Version Restricted to Repository staff only Download (5MB) | Request a copy

Abstract

Investasi bertujuan untuk meningkatkan kekayaan, namun selalu disertai dengan risiko sehingga diperlukan diversifikasi portofolio untuk meminimalkan potensi kerugian. Saham dan cryptocurrency merupakan instrumen investasi yang populer dengan karakteristik risiko dan return yang berbeda. Penelitian ini bertujuan untuk membentuk dan mengevaluasi portofolio optimal saham dan cryptocurrency menggunakan pendekatan ARIMA–GARCH–Vine Copula dalam kerangka Markowitz. Model ARIMA digunakan untuk memodelkan return, GARCH digunakan untuk menangkap volatilitas, dan Vine Copula digunakan untuk memodelkan struktur dependensi antar aset. Hasil penelitian menunjukkan bahwa model ARIMA dan ARIMA–GARCH pada masing-masing aset mampu menangkap dinamika return harian dengan baik serta telah lulus uji diagnostik, seperti uji autokorelasi residual dan uji ARCH-LM. Hasil pemodelan dependensi menunjukkan bahwa model C-Vine Copula dengan pair family Gumbel memberikan kinerja terbaik berdasarkan nilai AIC terendah. Hasil optimasi menunjukkan bahwa portofolio saham dialokasikan pada BMRI, BBRI, dan BBCA, sedangkan portofolio cryptocurrency dialokasikan pada BTC, ETH, dan XRP. Portofolio gabungan mengombinasikan aset saham dan cryptocurrency dalam alokasi optimal. Evaluasi kinerja menggunakan Sharpe Ratio menunjukkan bahwa portofolio cryptocurrency memiliki efisiensi risk–return terbaik. Berdasarkan Treynor Ratio, portofolio gabungan menghasilkan return paling sepadan terhadap risiko pasar. Jensen’s Alpha menunjukkan bahwa portofolio cryptocurrency memiliki kemampuan terbaik dalam mencerminkan kinerja pasar, sementara hasil Value at Risk dan Expected Shortfall menunjukkan bahwa portofolio gabungan memiliki tingkat risiko ekstrem paling rendah. Penelitian ini diharapkan dapat memberikan referensi bagi pengembangan strategi diversifikasi portofolio dan pengambilan keputusan investasi.
================================================================================================================================
Investment aims to increase wealth but is always accompanied by risk, therefore, portfolio diversification is required to reduce potential losses. Stocks and cryptocurrencies are popular investment instruments with different risk and return characteristics. This study aims to construct and evaluate optimal portfolios of stocks and cryptocurrencies using the ARIMA–GARCH–Vine Copula approach within the Markowitz framework. The ARIMA model is used to model returns, GARCH is applied to capture volatility, and Vine Copula is used to model the dependence structure among assets. The results show that the ARIMA and ARIMA–GARCH models for each asset are able to capture daily return dynamics well and have passed diagnostic tests such as residual autocorrelation and ARCH-LM tests. Dependence modeling results indicate that the C-Vine Copula with the Gumbel family provides the best performance based on the lowest AIC value. Portfolio optimization results show that the stock portfolio is allocated among BMRI, BBRI, and BBCA, while the cryptocurrency portfolio is allocated among BTC, ETH, and XRP. The combined portfolio integrates both asset classes. Performance evaluation using the Sharpe Ratio shows that the cryptocurrency portfolio has the best risk–return efficiency. Treynor Ratio results indicate that the combined portfolio provides the best return relative to market risk. Jensen’s Alpha shows that the cryptocurrency portfolio best reflects market performance, while Value at Risk and Expected Shortfall results indicate that the combined portfolio has the lowest extreme risk. This study is expected to provide insights for portfolio diversification and investment decision-making.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	ARIMA, GARCH, Investing, Markowitz, Vine Copula, Investasi
Subjects:	H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4529.5 Portfolio management H Social Sciences > HG Finance > HG4910 Investments H Social Sciences > HG Finance > HG4915 Stocks--Prices Q Science > QA Mathematics
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Benaya Mikhael
Date Deposited:	14 Jan 2026 07:55
Last Modified:	14 Jan 2026 07:55
URI:	http://repository.its.ac.id/id/eprint/129626

Actions (login required)

View Item