Analisis Risiko Return Saham Perusahaan Asuransi Menggunakan Metode Value At Risk Dengan Pendeka-tan ARMA-GARCH

Damayanti, Endy Normacinthya (2017) Analisis Risiko Return Saham Perusahaan Asuransi Menggunakan Metode Value At Risk Dengan Pendeka-tan ARMA-GARCH. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pasar modal Indonesia merupakan salah satu negara tujuan investasi bagi investor di negara-negara maju (developed markets) yang dikenal sebagai emerging market. Perkembangan kondisi perekonomian di Indonesia sendiri dianggap baik bagi para investor untuk menanamkan dana. Saham sektor keuangan menjadi salah satu sektor yang ikut berkembang di sepanjang tahun ini. Tiga dari tujuh saham yang menunjukkan bertumbuh dengan baik adalah PT Asuransi Multi Artha Guna Tbk (AMAG), PT Paninvest Tbk (PNIN), dan PT Lippo General Insurance Tbk (LPGI). Terdapat dua hal penting yaitu tingkat pengembalian atau imbal hasil (return) dan risiko. Komponen lain yang tidak kalah penting adalah volatilitas return saham. Berdasarkan penjelasan diatas, maka dilakukan penelitian untuk menganalisis return saham dan volatilitas ketiga saham. Salah satu metode yang digunakan dalam mengestimasi risiko saham adalah metode VaR (Value at Risk). Untuk mengatasi volatilitas dapat menggunakan ARMA dan GARCH. Dihasilkan bahwa tiga saham perusahaan memberikan nilai rata-rata return yang positif sehingga memberikan keuntungan bagi investor. Saham perusahaan LPGI memiliki potensi risiko yang paling tinggi karena nilai standar deviasi yang tinggi. Model terbaik untuk return saham AMAG adalah ARMA ([7],[7]) dan model GARCH (1,2). Pada return saham LPGI model terbaik adalah ARMA ([2],[2]) dan GARCH (1,1). Return saham PNIN diperoleh model terbaik ARMA (0,[3]) dan GARCH (1,2). Pada pemodelan Parsimony didapatkan model ARMA (1,0) GARCH (1,1) untuk return saham perusahaan AMAG dan ARMA (0,1) GARCH (1,1) untuk return saham perusahaan LPGI, dan ARMA (1,1) GARCH (1,1) untuk return saham perusahaan PNIN. Pada perhitungan VaR didapatkan investor akan mengalami kerugian maksimum sebesar Rp 47.089.529,- bila menanamkan modal sebesar Rp 1.000.000.000,- di perusahaan AMAG, berlaku pula pada perusahaan LPGI, investor akan mengalami kerugian sebesar Rp 60.018.734,- dan Rp 39.196.540,- di perusahaan PNIN dengan tingkat keyakinan 95%. ================================================================= Indonesian capital market, one of the investment destination countries for investors in developed countries (developed markets), is known as emerging market. The development of economic conditions in Indonesia is considered good for investors to invest funds. The stocks of financial sector became one of the developing sectors throughout the year. Three of seven stocks that indicate decent growth are PT Asuransi Multi Artha Guna Tbk (AMAG), PT Paninvest Tbk (PNIN), and PT Lippo General Insurance Tbk (LPGI). There are two important things, which are the rates of return and risk. Another important component is the stock return volatility. Based on the explanation above, the research is conducted in order to analyze stock return and volatility of the three stocks. One of methods used in estimating stock risks is the VaR (Value at Risk) method while ARMA and GARCH can be used to overcome volatility. The result shows that the three stock companies gave averagely positive marks of return, which provide benefits to investors. The stock of LPGI company has the highest potential risk due to the high standard deviation value. The best models for AMAG’s stock returns are ARMA ([7], [7]) and GARCH (1,2) models. For the stock return of LPGI, the best models are ARMA ([2], [2]) and GARCH (1,1). Stock returns of PNIN obtain the best model of ARMA (0, [3]) and GARCH (1,2). In Parsimony modeling, ARMA (1.0) GARCH (1,1) models are obtained for company stock returns of AMAG; ARMA (0,1) GARCH (1,1) models are obtained for company stock returns of LPGI; and ARMA (1,1) GARCH ( 1,1) models are obtained for company stock returns of PNIN company. In the calculation of VaR, investors will encounter maximum loss of Rp 47,089,529, - when they invest Rp 1,000,000,000, - in AMAG company. It also applies in LPGI company, in which investors will encounter maximum loss Rp 60,018,734, - while, in PNIN company, the investors will encounter maximum loss Rp 39,196 .540, - with 95% confidence level.

Item Type: Thesis (Undergraduate)
Additional Information: RSSt 519.544 Dam a
Uncontrolled Keywords: ARMA-GARCH, Return Saham, Value at Risk, Stock Return
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
Divisions: Faculty of Mathematics and Science > Statistics > (S1) Undergraduate Theses
Depositing User: Endy Normacinthya Damayanti
Date Deposited: 18 Dec 2017 08:50
Last Modified: 05 Mar 2019 03:59
URI: http://repository.its.ac.id/id/eprint/48510

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