Nadhira, Nadia (2024) Analisis Risiko Investasi Saham Subsektor Konstruksi Bangunan di Bursa Efek Indonesia dengan Conditional Value-at-Risk dan Value-at-Risk Pendekatan Extreme Value Theory dan ARMA-GARCH. Other thesis, Institut Teknologi Sepuluh Nopember.
![]() |
Text
5003201113-Undergraduate_Thesis.pdf - Accepted Version Restricted to Repository staff only Download (4MB) | Request a copy |
Abstract
Aset finansial yang kini populer di masyarakat adalah saham. Saham merupakan bukti kepemilikan atas suatu perusahaan atau Perseroan Terbatas. Dalam berinvestasi, terdapat risiko investasi yang akan dihadapi maka penting bagi investor untuk mampu mengestimasi tingkat risiko sebelum berinvestasi. Penelitian ini bertujuan untuk menganalisis tingkat risiko dengan metode Value-at-Risk (VaR) pada perusahaan saham subsektor konstruksi bangunan di BEI. Nilai saham cenderung memiliki volatilitas tinggi dan nilai ekstrem, sehingga estimasi nilai VaR dilakukan dengan pendekatan ARMA-GARCH dan EVT. Tingkat risiko tidak hanya dipengaruhi oleh faktor endogen, tetapi juga faktor eksogen, seperti kondisi saham pesaing dan variabel makroekonomi, sehingga dalam penelitian ini, estimasi risiko juga dilakukan menggunakan metode Conditional Value-at-Risk (CoVaR) dengan melibatkan variabel makroekonomi yaitu nilai tukar USD/IDR. Hasil penelitian menyimpulkan bahwa saham dengan risiko tertinggi metode VaR adalah Saham BUKK sedangkan pada metode CoVaR adalah saham PTPP. Saham PTPW memiliki tingkat risiko terendah pada kedua metode. Perhitungan CoVaR memberikan estimasi tingkat risiko yang lebih tinggi dibandingkan perhitungan VaR Estimasi VaR dengan pendekatan ARMA-GARCH menghasilkan tingkat akurasi yang lebih baik dibandingkan pendekatan EVT, sedangkan pada estimasi CoVaR, pendekatan EVT menghasilkan tingkat akurasi yang lebih baik.
========================================================================================================================
Shares are a popular financial asset among the public. Shares are evidence of ownership in a company or limited liability company. In investing, there are investment risks that will be faced, so investors need to be able to estimate the level of risk before investing. This study aims to analyze the level of risk using the Value-at-Risk (VaR) method on construction and building subsector stock companies on the IDX. Stock prices tend to have high volatility and extreme values, so the estimation of VaR values is carried out using the ARMA-GARCH and EVT approaches. The level of risk is not only influenced by endogenous factors but also exogenous factors, such as the conditions of competitor's shares and macroeconomic variables. Therefore, in this study, risk estimation is also carried out using the Conditional Value-at-Risk (CoVaR) method by involving the macroeconomic variable of the USD/IDR exchange rate. The study results conclude that the shares with the highest risk using the VaR method are BUKK shares, while the CoVaR method is PTPP shares. PTPW shares have the lowest level of risk using both methods. The CoVaR calculation provides a higher risk level estimate than the VaR calculation. The VaR estimation with the ARMA-GARCH approach produces a better level of accuracy than the EVT approach. In contrast, in the CoVaR estimation, the EVT approach produces a better level of accuracy.
Item Type: | Thesis (Other) |
---|---|
Uncontrolled Keywords: | ARMA-GARCH, Conditional Value-at-Risk, Extreme Value Theory, Risk, Value-at-Risk ARMA-GARCH, Conditional Value-at-Risk, Extreme Value Theory, Risiko, Value-at-Risk |
Subjects: | H Social Sciences > H Social Sciences (General) H Social Sciences > HG Finance |
Divisions: | Faculty of Mathematics and Science > Statistics > 49201-(S1) Undergraduate Thesis |
Depositing User: | Nadia Nadhira |
Date Deposited: | 09 Aug 2024 03:27 |
Last Modified: | 09 Aug 2024 03:27 |
URI: | http://repository.its.ac.id/id/eprint/114787 |
Actions (login required)
![]() |
View Item |