Pamungkas, Nanda Prasetya (2018) Analisis Risiko Return Saham Sub Sektor Telekomunikasi Di Indonesia Menggunakan Metode Cvar Dengan Pendekatan Armax Dan Variasi Garchx. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Pertumbuhan pengguna internet Indonesia tumbuh pesat dari tahun ke tahun. Sehingga investasi pada perusahaan telekomunikasi cukup menjanjikan. Perusahaan telekomunikasi yang terjun pada layanan data internet antara lain PT. Telekomunikasi Indonesia Tbk, PT. Indosat Tbk, dan PT. XL Axiata Tbk. Investasi pada perusahaan sub sektor telekomunikasi dapat memberikan return yang besar, namun investor juga harus mempertimbangan sisi risikonya, karena karakteristik saham adalah high return high risk. Untuk itu diperlukan suatu metode untuk memperhitungkan tingkat risiko saham. Metode yang umum digunakan adalah VaR (Value at Risk) dan CVaR (Conditional Value at Risk). Pada penelitian ini VaR dan CVaR ditaksir dengan pendekatan ARMAX dan variasi GARCHX. Tujuan dalam penelitian ini adalah melakukan perbandingan model pendekatan ARMAX dan variasi GARCHX untuk menentukan model terbaik yang dapat menangkap adanya volatilitas yang tinggi. Saham perusahaan TLKM terlihat lebih stabil secara visual maupun dengan perhitungan CVaR pendekatan ARMAX dan variasi GARCHX. Pengukuran akurasi perhitungan risiko menggunakan bactesting yang menunjukkan bahwa metode CVaR dengan pendekatan ARMAX-EGARCHX lebih baik.
===================================================================================== The growth of Indonesian internet users is growing rapidly from year to year. So that internet service investment among telecommunication company is promising. Telecommunication companies that plunge in internet data services, among others are PT. Telekomunikasi Indonesia Tbk, PT. Indosat Tbk, and PT. XL Axiata Tbk. Investments in telecommunication sub-sector companies can provide a high return, but investors should also consider the risks, because it is a stock characteristic that high return and high risk. Therefore we need a method to take into account the level of stock risk. The most commonly used method is VaR (Value at Risk) and CVaR (Conditional Value at Risk). This research estimates VaR and CVaR using ARMAX and GARCHX variation approach. The purpose of this project is to compare the ARMAX and GARCHX variation approach to determine the best model that can capture the dinamic volatility. Return stock of TLKM are more stable visually as well as when it estimated using CVaR with ARMAX and GARCHX variation approach. Risk accuracy calculation using bactesting shows that CVaR method ARMAX-EGARCHX approach is the best.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Uncontrolled Keywords: | ARMAX-GARCHX, Conditional Value at Risk, Internet, Risiko, Value at Risk. |
| Subjects: | H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4012 Mathematical models H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4910 Investments H Social Sciences > HJ Public Finance |
| Divisions: | Faculty of Mathematics and Science > Statistics > 49201-(S1) Undergraduate Thesis |
| Depositing User: | Nanda Prasetya Pamungkas |
| Date Deposited: | 06 Jul 2021 10:50 |
| Last Modified: | 06 Jul 2021 10:50 |
| URI: | http://repository.its.ac.id/id/eprint/57014 |
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