Putri, Atika (2023) Estimasi Value At Risk (VaR) Saham PT Medco Energi Internasional Tbk. Menggunakan Autoregressive Conditional Heteroscedasticity (ARCH). Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
PT Medco Energi Internasional Tbk. yang merupakan perusahaan berbisnis di bidang energi menjadi salah satu pendorong kuatnya kinerja positif indeks LQ45 pada awal tahun 2022. PT Medco Energi Internasional Tbk. memiliki kenaikan harga saham tertinggi dibandingkan dengan perusahaan lain di sektor energi, namun faktanya harga saham perusahaan ini memiliki harga yang relatif kecil. Di satu sisi, PT Medco Energi Internasional Tbk. memiliki kenaikan laba bersih yang tinggi dibanding tahun 2021. Hal ini menjadi perhatian menarik bagi para investor karena dianggap memberikan keuntungan saat berinvestasi pada PT Medco Energi Internasional Tbk. walaupun dengan valuasi harga saham yang murah. Selain memperhatikan keuntungan yang didapat, investor juga harus memperhatikan risiko berinvestasi karena harga saham memiliki sifat yang tidak pasti, dan berfluktuasi. Keuntungan (return) yang tinggi juga berpotensi memiliki risiko investasi yang tinggi. Ketidakpastian harga saham tersebut yang perlu dilakukan pemodelan dengan menggunakan ARIMA-ARCH untuk mendapatkan nilai ramalan harga saham ke depan serta mengukur risiko investasi saham yang dapat diestimasi dengan VaR (Value at Risk). Data yang digunakan pada penelitian ini merupakan data harga penutupan saham PT Medco Energi Internasional Tbk. yang selanjutnya akan dicari nilai return nya. Penelitian ini diharapkan dapat memberikan informasi kepada investor, khususnya PT Medco Internasional Tbk. terkait risiko investasi saham yang akan dihadapi sebelum melakukan investasi. Hasil analisis dari penelitian ini ialah peramalan return saham selama 30 hari ke depan memiliki nilai yang berfluktuasi dengan ramalan saham tertinggi pada hari ke-29 ke depan dengan hasil estimasi risiko investasi saham sebesar Rp7.579.000,00
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PT Medco Energi Internasional Tbk. which is a business company in the energy sector, is one of the drivers of the strong positive performance of the LQ45 index in early 2022. PT Medco Energi Internasional Tbk. has the highest increase in share price compared to other companies in the energy sector, but in fact the share price of this company has a relatively small price. On the one hand, PT Medco Energi Internasional Tbk. has a high increase in net profit compared to 2021. This is of interest to investors because it is considered to provide benefits when investing in PT Medco Energi Internasional Tbk. even with a low stock price valuation. In addition to paying attention to the profits, investors must also pay attention to the risks of investing because stock prices are uncertain and fluctuate. High profit (return) also has the potential to have a high investment risk. It is this stock price uncertainty that needs to be modeled using ARIMA-ARCH to obtain the forecast value of future stock prices and to measure stock investment risk which can be estimated with VaR (Value at Risk). The data used in this research is the closing price of PT Medco Energi Internasional Tbk. which will then look for its return value. This research is expected to provide information to investors, especially PT Medco Internasional Tbk. related to stock investment risks that will be faced before making an investment. The result of the analysis of this study is that the stock return forecast for the next 30 days has a fluctuating value with the highest stock forecast on the 29th day ahead with an estimated stock investment risk of IDR 7,579,000.00
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | ARIMA, ARCH, Return Saham, Value at Risk; ARIMA, ARCH, Stock Return, Value at Risk |
| Subjects: | H Social Sciences > HA Statistics > HA29 Theory and method of social science statistics H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HA Statistics > HA31.7 Estimation H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) |
| Divisions: | Faculty of Vocational > 49501-Business Statistics |
| Depositing User: | Atika Putri |
| Date Deposited: | 27 Jun 2023 01:23 |
| Last Modified: | 27 Jun 2023 01:23 |
| URI: | http://repository.its.ac.id/id/eprint/98226 |
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