Analisis Risiko Return Saham Perusahaan Sub Sektor Properti dan Real Estate Menggunakan Metode Conditional Value at Risk (CVaR) dengan Pendekatan ARMAX GARCHX dan Duration Test Sebagai Backtesting

Ramadhani, Rr. Vianty Roose Ika (2017) Analisis Risiko Return Saham Perusahaan Sub Sektor Properti dan Real Estate Menggunakan Metode Conditional Value at Risk (CVaR) dengan Pendekatan ARMAX GARCHX dan Duration Test Sebagai Backtesting. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pada 1 Juli 2016, Undang-Undang tentang pengampunan pajak atau tax amnesty telah disahkan. Dampak tax amnesty ini mendo-rong pertumbuhan investasi salah satunya di perusahaan sub sektor properti dan real estate, yaitu 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). Data harga saham memiliki volatilitas tinggi dan dipengaruhi variabel eksogen, yaitu kurs IDR/USD dan IHSG, sehinga risiko dimodelkan dengan menggunakan metode Value at Risk (VaR) dan Conditional Value at Risk (CVaR) dengan pendekatan ARMA GARCH dan ARMAX GARCHX menggunakan duration test sebagai backtesting. Metode VaR dengan pendekatan ARMA GARCH lebih akurat dalam mengestimasi risiko dan profit dibanding metode CVaR. Sedangkan dengan pendekatan ARMAX GARCHX, VaR dan CVaR sama akurat-nya pada window tertentu. Durasi antar risiko pada saat ke-t tidak ada pengaruhnya dengan risiko sebelumnya dan jumlah window tidak mempengaruhi rata-rata durasi terjadinya risiko maupun profit. Semakin pendek durasi antar risiko, maka perusahaan semakin mengalami kerugian. Berdasarkan kedua pendekatan yang telah dilakukan, metode yang lebih kompleks belum tentu lebih baik digunakan daripada metode yang sederhana. ============================================================ On July 1, 2016, The law about tax amnesty has confirmed. The impact of tax amnesty encourages investment growth of one of them in property and real estate sub-sector, namely 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). Stock price data has a high volatility and influenced by exogenous variables, which is IDR / USD and IHSG rates, so the risk is modeled by Value at Risk (VaR) and Conditional Value at Risk (CVaR) method using ARMA GARCH and ARMAX GARCHX approach and duration test as backtesting. The VaR method with the ARMA GARCH approach is more accurate in estimating risk and profit than the CVaR method. While the ARMAX GARCHX, VaR and CVaR approaches are just as accurate in a particular window. The duration between risks at time t has no impact with previous risks and the number of windows does not affect the average duration of risk or profit. The more shorter of the duration between risks, the company will be more losses. Based on the two approaches that have been made, the complex method is not necessarily better to used than simpler methods.

Item Type: Thesis (Undergraduate)
Additional Information: RSSt 519.535 Ram a
Uncontrolled Keywords: ARMAX-GARCHX; CVaR; Duration Test; Return; VaR
Subjects: H Social Sciences > HG Finance > HG4529 Investment analysis
Q Science
Divisions: Faculty of Mathematics and Science > Statistics > 49201-(S1) Undergraduate Thesis
Depositing User: Rr. Vianty Roose Ika Ramadhani
Date Deposited: 17 Jan 2018 04:04
Last Modified: 05 Mar 2019 03:54
URI: http://repository.its.ac.id/id/eprint/48550

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