Palupi, Retno (2020) Analisis Peramalan Volatilitas Dengan Model Markov Switching GARCH Dan Estimasi Risiko Dengan Value At Risk Pada Franklin Global Sukuk Fund Luxembourg. Masters thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Volatilitas merupakan varian yang berubah seiring waktu tertentu. Volatilitas dalam suatu investasi diartikan sebagai ukuran risiko terkait suatu portofolio berdasarkan perubahan harga. Perubahan harga sukuk (obligasi syariah) memberikan dampak pada return sukuk, sehingga diperlukan manajemen yang baik bagi investor sukuk untuk mendapatkan return yang diharapkan. Perubahan harga sukuk dapat diramalkan dengan analisis time series. Selain itu terdapat efek perubahan struktur dalam pergeseran volatilitas return sukuk, sehingga diperlukan model yang sesuai untuk menggambarkan hal tersebut. Penelitian ini tidak hanya akan mengaplikasikan dan meramalkan volatilitas dengan model GARCH, tetapi juga mengaplikasikan model Markov Switching GARCH. MS GARCH dapat menganalisis perubahan struktur dan pergeseran volatilitas return sukuk serta meramalkan volatilitas untuk periode ke depan. Penelitian ini juga melakukan analisis pada estimasi risiko dengan Value at Risk (VaR) menggunakan metode Monte-Carlo pada Franklin Global Sukuk Fund Luxembourg. Diperoleh hasil bahwa model MS GARCH(1,1) lebih baik dalam memodelkan dan meramalkan volatilitas return sukuk daripada model GARCH(1,1) karena adanya efek pergeseran volatilitas. Hal ini ditunjukkan dengan nilai RMSE model MS GARCH(1,1), yaitu 1.25E-05, lebih kecil dari nilai RMSE model GARCH(1,1) yang bernilai 1.74E-05. Hasil perhitungan estimasi risiko dengan VaR pada model MS GARCH(1,1) menunjukkan nilai kerugian yang lebih rendah, yaitu 2.44 USD, dari model
GARCH(1,1) yang mencapai nilai 2.67 USD.
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Volatility is a variant that changes over time. In investing, volatility is defined as a measure of risk associated with a portfolio based on price changes. Changes in the price of sukuk (Islamic bonds) have an impact on sukuk returns, so that good management is needed for sukuk investors to get the expected return. Changes in sukuk prices can be forecasting by using time series analysis. In addition there is the effect of structural changes in the shift of sukuk return volatility, so we need an appropriate model to model it. This research will not only model and forecast volatility with the GARCH model, but also use the Markov Switching GARCH model. MS GARCH can analyze structural changes and shifts in sukuk return volatility and forecast volatility for the period ahead. This study also analyzes risk estimation with Value at Risk (VaR) using the Monte-Carlo method at the Franklin Global Sukuk Fund Luxembourg. The results show that the MS GARCH(1,1) model is better at modeling and forecasting the volatility of sukuk returns than the standard GARCH(1,1) model because of the effect of switching volatility. This is indicated by the RMSE value of the MS GARCH(1,1) model, 1.25E-05, smaller than the RMSE value of the GARCH model (1,1) which is 1.74E-05. The results of the calculation of risk estimates with VaR on the MS GARCH(1,1) model show a lower loss value, 2.44 USD, than the GARCH(1,1) model which reaches a value of 2.67 USD.
| Item Type: | Thesis (Masters) |
|---|---|
| Additional Information: | RTMa 519.535 Pal a-1 |
| Uncontrolled Keywords: | sukuk, volatilitas, markov switching, value at risk, sukuk, volatility, markov switching, value at risk |
| Subjects: | Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44101-(S2) Master Thesis |
| Depositing User: | Retno Palupi |
| Date Deposited: | 22 Aug 2020 02:26 |
| Last Modified: | 24 Nov 2023 08:13 |
| URI: | http://repository.its.ac.id/id/eprint/80010 |
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