Estimasi Risiko Saham pada Subsektor Energi di IDX30 Menggunakan Value at Risk dengan Pendekatan Extreme Value Theory

Nirmala, Karisma Bunga (2026) Estimasi Risiko Saham pada Subsektor Energi di IDX30 Menggunakan Value at Risk dengan Pendekatan Extreme Value Theory. Diploma thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pasar modal merupakan salah satu instrumen penting dalam keuangan yang berperan signifikan dalam mendukung pertumbuhan ekonomi. Saham menjadi salah satu instrumen investasi yang paling diminati karena menawarkan potensi imbal hasil tinggi. Di antara berbagai sektor, sektor energi menempati posisi penting karena sangat dipengaruhi oleh dinamika harga komoditas global seperti batu bara, minyak, dan gas. Ketidakstabilan tersebut berdampak langsung pada volatilitas harga saham perusahaan sektor energi, terutama saham yang tergabung dalam indeks IDX30 karena berisi saham-saham unggulan dengan likuiditas tinggi dan kapitalisasi pasar besar. Tingginya fluktuasi harga saham energi menimbulkan kebutuhan untuk mengukur risiko berinvestasi secara akurat, khususnya dalam kondisi pasar yang ekstrem. Value at Risk (VaR) merupakan metode yang umum digunakan untuk mengestimasi kerugian maksimum dalam jangka waktu tertentu. Namun, pendekatan konvensional VaR memiliki keterbatasan dalam menangkap nilai-nilai ekstrem karena mengasumsikan distribusi data normal. Penelitian ini menggunakan pendekatan Extreme Value Theory (EVT) yang lebih sesuai untuk memodelkan data dengan karakteristik ekor tebal (heavy tails). Penelitian ini bertujuan untuk mengestimasi nilai VaR pada saham-saham sektor energi dalam indeks IDX30 dengan pendekatan EVT melalui dua metode, yaitu Block Maxima (BM) dan Peaks Over Threshold (POT). Hasil penelitian menunjukkan bahwa saham Adaro Energy Indonesia Tbk (ADRO) memiliki tingkat risiko tertinggi dibandingkan dua saham lainnya, yaitu Bukit Asam Tbk (PTBA) dan Perusahaan Gas Negara Tbk (PGAS) yang menunjukkan risiko lebih rendah dan stabil. Selain itu, hasil backtesting memperlihatkan bahwa metode Peaks Over Threshold (POT) menghasilkan estimasi risiko yang lebih sesuai dibandingkan metode Block Maxima (BM) karena lebih mampu menangkap kejadian ekstrem secara representatif.
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The capital market is one of the essential financial instruments that plays a significant role in supporting economic growth. Stocks have become one of the most attractive investment instruments due to their potential for high returns. Among the various sectors, the energy sector occupies an important position as it is strongly influenced by the dynamics of global commodity prices such as coal, oil, and gas. This instability directly affects the volatility of stock prices in energy companies, particularly those listed in the IDX30 index, which consists of leading stocks with high liquidity and large market capitalization. The high fluctuations in energy stock prices create the need to measure investment risk accurately, especially under extreme market conditions. Value at Risk (VaR) is a widely used method to estimate the maximum potential loss over a certain time horizon. However, conventional VaR approaches have limitations in capturing extreme values because they assume normally distributed data. This study employs the Extreme Value Theory (EVT) approach, which is more suitable for modeling data with heavy-tailed characteristics. The purpose of this research is to estimate the VaR of energy sector stocks listed in the IDX30 using EVT through two methods, namely Block Maxima (BM) and Peaks Over Threshold (POT). The results of this study indicate that Adaro Energy Indonesia Tbk (ADRO) has the highest risk level compared to the other two companies, namely Bukit Asam Tbk (PTBA) and Perusahaan Gas Negara Tbk (PGAS), which exhibit relatively lower and more stable risk levels. Furthermore, the backtesting results show that the Peaks Over Threshold (POT) method provides more according risk estimation compared to the Block Maxima (BM) method, as it is better at capturing extreme events more representatively.

Item Type:	Thesis (Diploma)
Uncontrolled Keywords:	Block Maxima, IDX30, Peaks Over Threshold, Sektor Energi, Value at Risk, Energy Sector.
Subjects:	H Social Sciences > HA Statistics > HA30.3 Time-series analysis
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Karisma Bunga Nirmala
Date Deposited:	04 Jul 2026 11:48
Last Modified:	04 Jul 2026 11:48
URI:	http://repository.its.ac.id/id/eprint/134293

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