Perbandingan Analisis Risiko Saham Dan Kripto Menggunakan Pendekatan Value At Risk Metode Monte Carlo

Effendi, Mahfut (2023) Perbandingan Analisis Risiko Saham Dan Kripto Menggunakan Pendekatan Value At Risk Metode Monte Carlo. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Investasi adalah kegiatan penanaman modal dengan harapan meraih keuntungan dalam jangka waktu tertentu, baik itu jangka pendek maupun panjang. Jenis investasi sangat beragam, diantaranya saham, emas, reksadana, obligasi. Namun, akhir-akhir ini terdapat jenis investasi yang diminati di Indonesia yaitu kripto. Kripto adalah mata uang digital yang digunakan pada transaksi peer-to-peer atau transaksi pada suatu jaringan komputer/internet dimana saling terkoneksi antara satu dengan lainnya. Kripto mulai diminati karena perkembangan dunia digital semakin pesat. Mempertimbangkan daya tarik kripto yang mulai diminati oleh masyarakat Indonesia sebagai salah satu investasi, pada penelitian ini ingin membandingkan risiko yang diperoleh jika berinvestasi pada kripto dengan salah satu jenis investasi yang sudah dikenal masyarakat seblumnya yaitu saham. Hal yang digunakan untuk membandingkan risiko dari saham dan kripto, data akan dianalisis menggunakan pendekatan Value at Risk metode Monte Carlo berdasarkan hasil pemodelan Autoregressive Integrated Moving Average (ARIMA) Auto-regressive Conditional Heteroskedasticity (ARCH), Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Pe-nelitian ini menggunakan 8 data penutupan harga dengan masing-masing 4 (empat) untuk saham dan 4 (empat) untuk kripto dengan periode waktu 1 Januari 2019 hingga 30 April 2022. Hasil penelitian menunjukkan saham KONI.JK memiliki model terbaik yaitu ARIMA (2,1,1) (1,0,1)10 dan GARCH(0,2) serta memiliki nilai Value at Risk (VaR_(95%)) sebesar -12.30%, SHID.JK memiliki model terbaik yaitu ARIMA (1,1,2) (1,0,1)20 dan GARCH(0,3) serta memiliki nilai VaR_(95%) sebesar -6.66%, SMMT.JK memiliki model terbaik yaitu ARIMA (1,1,0) (2,0,2)10 dan ARCH(1) serta memiliki nilai VaR_(95%) sebesar -7.87%, BIRD.JK memiliki model terbaik yaitu ARIMA (1,1,1) (2,0,2)10 dan GARCH(0,5) serta memiliki nilai VaR_(95%) sebesar -4.71%. Kripto ETH memiliki model terbaik yaitu ARIMA (1,1,1) (1,0,1)10 dan GARCH(1,1) serta memiliki nilai VaR_(95%) sebesar -7.60%, BNB memiliki model terbaik yaitu ARIMA (1,1,1) (1,0,1)10 dan GARCH(1,1) serta memiliki nilai VaR_(95%) sebesar -9.04%, LTC memiliki model terbaik yaitu ARIMA (0,1,0) (2,0,2)10 dan GARCH(1,1) serta memiliki nilai VaR_(95%) sebesar -8.13%, dan MANA memiliki model terbaik yaitu ARIMA (1,1,1) (1,0,1)10 dan GARCH(0,1)serta memiliki nilai VaR_(95%) sebesar -12.80%
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Investment is an activity with the hope of achieving profits within a certain period of time. Several types of investment is stocks, gold, mutual funds, bonds. There is one type of investment that is gaining popularity, namely cryptocurrency. Cryptocurrency is a digital currency that is used in peer-to-peer transactions. Cryptocurrency are starting to be in demand because the development of the digital world is growing rapidly. Considering the attractiveness of crypto which is starting to be in demand by the Indonesian as an investment, this research wants to compare the risks that are obtained when investing in crypto with stocks. To compare the risk of stocks and cryptocurrency, it will be analyzed using the Value at Risk approach of the Monte Carlo method based on the results of the Autoregressive Integrated Moving Average (ARIMA) modeling, Autoregressive Conditional Heteroskedasticity (ARCH), Generalized Autoregressive Conditional Heteroskedasticity (GARCH). This study uses 8 closing price data variables with 4 each for stocks and 4 for cryptocurrency for the period 1 January 2019 to 31 March 2022. The results show that KONI.JK shares have the best model ARIMA (2,1,1) (1,0,1)10 and GARCH(0,2) and has a Value at Risk (VaR) value of -12.30%, SHID.JK has the best model ARIMA (1,1,2) (1,0,1)20 and GARCH(0,3) and has a VaR value of -6.66%, SMMT.JK has the best model ARIMA (1,1,0) (2,0,2)10 and ARCH(1) and has a VaR value of -7.87%, BIRD.JK has the best model ARIMA (1,1,1) (2,0,2)10 and GARCH(0,5) and has a VaR value of -4.71%. ETH cryptocurrency has the best model ARIMA (1,1,1) (1,0,1)10 and GARCH(1,1) and has a VaR value of -7.60%, BNB has the best model ARIMA (1,1,1 ) (1,0,1)10 and GARCH(1,1) and has a VaR value of -9.04%, LTC has the best model ARIMA (0,1,0) (2,0,2)10 and GARCH(1,1) and has a VaR value of -8.13%, and MANA has the best models ARIMA (1,1,1) (1,0,1)10 and GARCH(0,1) and has a VaR value of -12.80%

Item Type:	Thesis (Other)
Uncontrolled Keywords:	ARCH-GARCH, ARIMA, Cryptocurrency, Monte Carlo, Stock, ARCH-GARCH, ARIMA, Kripto, Monte Carlo, Saham
Subjects:	Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) Q Science > QA Mathematics > QA280 Box-Jenkins forecasting Q Science > QA Mathematics > QA401 Mathematical models.
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Mahfut Effendi
Date Deposited:	30 Jan 2023 07:55
Last Modified:	30 Jan 2023 07:55
URI:	http://repository.its.ac.id/id/eprint/95797

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