Handayani, Dwi (2017) Analisis Value-at-Risk Dengan Pendekatan ARMAX-GARCHX Untuk Mengestimasi Risiko Return Saham Pada Perusahaan Sub Sektor Property Dan Real Estate. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Saat ini, pemerintah Indonesia sedang gencar melakukan pembangunan nasional yang bersamaan dengan pemberlakuan tax amnesty. Dampak adanya tax amnesty ini mendorong pertumbuhan investasi, terutama investasi di sektor properti. Di sektor properti terdapat sub sektor property dan real estate. Perusahaan di sub sektor tersebut yang memiliki kapitalisasi saham terbesar adalah PT. Bumi Serpong Damai Tbk (BSDE), PT. Pakuwon Jati Tbk (PWON), PT. Lippo Karawaci Tbk (LPKR), PT. Summarecon Agung Tbk (SMRA), dan PT. Ciputra Development Tbk (CTRA). Dalam melakukan investasi, tentunya diperlukan kebijakan manajemen risiko yang baik, yaitu dengan cara mengestimasi risiko return saham kelima perusahaan, salah satunya menggunakan metode Value-at-Risk (VaR). Diketahui bahwa data saham memiliki volatilitas yang tinggi dan juga dipengaruhi variabel eksogen yaitu kurs IDR/USD dan IHSG, sehingga dalam estimasi VaR menggunakan pendekatan ARMAX-GARCHX. Perhitungan nilai VaR dengan pendekatan ARMAX-GARCHX menggunakan window 500 memberikan hasil yang lebih akurat. Secara keseluruhan, perusahaan yang memberikan estimasi kerugian maksimum pada kuantil 5% adalah SMRA.
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Currently, Indonesian government is aggressively national development which also imposing tax amnesty. The impact of tax amnesty is encouraging the growth of investment, particularly investment in the property sector. In the property sector there is a sub-sector of property and real estate. Companies in the sub-sector that has the greatest market capitalization are PT. Bumi Serpong Damai Tbk (BSDE), PT. Pakuwon Jati Tbk (PWON), PT. Lippo Karawaci Tbk (LPKR), PT. Summarecon Agung Tbk (SMRA), and PT. Ciputra Development Tbk (CTRA). In investing, certainly needed a good risk management policies. Risk management can be done by estimating the risk of stock company that is using Value-at-Risk (VaR). The data stock has a high volatility and are also influenced by exogenous variables, that are the exchange rate IDR/USD and Jakarta Composite Index (IHSG), so in estimating VaR is using ARMAX-GARCHX. The calculation of VaR with ARMAX-GARCHX use window 500 provides more accurate results Overall, the company that provides the estimated maximum loss at 5% quantile is SMRA.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Uncontrolled Keywords: | ARMAX-GARCHX, IHSG, Kurs IDR/USD, Risiko, VaR ARMAX-GARCHX, Exchange Rate IDR/USD, IHSG, Risk, VaR |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HJ Public Finance |
| Divisions: | Faculty of Mathematics and Science > Statistics > 49201-(S1) Undergraduate Thesis |
| Depositing User: | - DWI HANDAYANI |
| Date Deposited: | 05 May 2017 06:48 |
| Last Modified: | 08 Mar 2019 07:06 |
| URI: | http://repository.its.ac.id/id/eprint/3738 |
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