Analisis Estimasi Risiko Return Saham pada Subsektor Pertambangan Batubara LQ45 Menggunakan Value at Risk Pendekatan ARMAX-GARCHX

Firdausy, Insania (2026) Analisis Estimasi Risiko Return Saham pada Subsektor Pertambangan Batubara LQ45 Menggunakan Value at Risk Pendekatan ARMAX-GARCHX. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Subsektor pertambangan batubara di Indonesia memiliki kontribusi signifikan terhadap pasar modal, terutama melalui perusahaan-perusahaan yang tergabung dalam indeks LQ45. Namun, kinerja saham-saham tersebut sangat dipengaruhi oleh fluktuasi harga komoditas di pasar global. Penelitian ini bertujuan untuk mengestimasi risiko return saham ADRO, ITMG, PTBA, dan ADMR menggunakan Value at Risk dan Conditional Value at Risk pendekatan ARMAX-GARCHX. Estimasi risiko dilakukan menggunakan pendekatan moving window dengan panjang 250, 375, dan 500 hari transaksi. Kemudian dilakukan uji validitas model dengan backtesting menggunakan uji Kupiec terhadap hasil estimasi. Data yang digunakan dalam penelitian ini berupa harga penutup harian pada periode Januari 2022 hingga Juni 2025. Harga saham subsektor pertambangan batubara cenderung mengalami kenaikan signifikan pada tahun 2022. Pola return saham harian menunjukkan fluktuasi tinggi selama periode pengamatan, sedangkan harga komoditas global menunjukkan pergerakan yang menurun dari waktu ke waktu. Estimasi return saham ADRO dan ITMG menggunakan GARCHX(1,0,[1]) dengan variabel eksogen perubahan harga komoditas pada t-1. Sementara return saham PTBA menggunakan ARMAX(0,1,[3])–GARCH(1,1) dengan variabel eksogen perubahan harga batubara dan minyak, sedangkan return saham ADMR menggunakan GARCHX dengan variabel eksogen perubahan harga minyak mentah dunia saat (t). Saham ADMR memiliki potensi kerugian terbesar dan volatilitas tertinggi karena sensitivitasnya terhadap perubahan pasar dan harga komoditas. Sedangkan, saham PTBA menunjukkan tingkat risiko paling rendah dan pegerakan harga yang paling stabil. Secara keseluruhan, pada tingkat keyakinan 95% pendekatan model yang digunakan dalam mengukur estimasi risiko return saham menunjukkan hasil yang akurat berdasarkan validasi backtesting uji Kupiec dengan window 500 hari memberikan hasil yang paling stabil.
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The coal mining subsector in Indonesia has a significant contribution to the capital market, especially through companies included in the LQ45 index. However, the performance of these stocks is significantly influenced by fluctuations in commodity prices in the global market. This study aims to estimate the stock return risk of ADRO, ITMG, PTBA, and ADMR using the Value at Risk and Conditional Value at Risk ARMAX-GARCHX approaches. Risk estimation is carried out using a moving window approach with a length of 250, 375, and 500 transaction days. Then, the validity of the model is tested by backtesting using the Kupiec test on the estimated results. The data used in this study are daily closing prices for the period January 2022 to June 2025. Stock prices in the coal mining subsector tended to increase significantly in 2022. The daily stock return pattern shows high fluctuations during the observation period, while global commodity prices show a downward movement over time. The stock return estimation of ADRO and ITMG uses GARCHX(1,0,[1]) with the exogenous variable being changes in commodity prices at t-1. Meanwhile, PTBA stock returns use ARMAX(0,1,[3])–GARCH(1,1) with exogenous variables of changes in coal and oil prices, while ADMR stock returns use GARCHX with exogenous variables of changes in world crude oil prices at time (t). ADMR shares have the greatest potential for loss and the highest volatility due to their sensitivity to market changes and commodity prices. Meanwhile, PTBA shares show the lowest level of risk and the most stable price movements. Overall, at the 95% confidence level the model approach used in measuring stock return risk estimates shows accurate results based on Kupiec's backtesting validation with a 500-day window providing the most stable results.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	ARMAX-GARCH, Conditional Value at Risk , Uji Kupiec, Saham Subsektor Pertambangan Batubara, Value at risk ARMAX-GARCH, Coal Mining Subsector Stocks, Conditional Value at Risk, Kupiec Test, Value at Risk.
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HA Statistics > HA31.7 Estimation 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
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Insania Firdausy
Date Deposited:	18 Feb 2026 00:47
Last Modified:	18 Feb 2026 00:47
URI:	http://repository.its.ac.id/id/eprint/132469

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