Yogi, Ida Bagus Panya Ananda Yogi (2026) Analisis Risiko Saham Hilirisasi Nikel Di Bursa Efek Indonesia Dengan Conditional Value At Risk Melalui Pendekatan ARMA-GARCH Dan Extreme Value Theory. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Indonesia menguasai 42,31% cadangan nikel global, memicu investasi masif pada emiten hilirisasi PT Aneka Tambang Tbk (ANTM), PT Vale Indonesia Tbk (INCO), dan PT Merdeka Battery Materials Tbk (MBMA). Volatilitas tinggi dan karakteristik fat-tailed return saham menuntut pengukuran risiko yang robust. Penelitian ini bertujuan mengestimasi risiko individu menggunakan Value at Risk (VaR) hibrida ARMA-GARCH-EVT, serta risiko sistemik menggunakan Conditional Value at Risk (CoVaR) berbasis regresi kuantil. Log return nikel London Metal Exchange (LME) digunakan sebagai variabel kontrol makroekonomi eksternal. Menggunakan data harian periode 01 Agustus 2023 hingga 28 April 2026, hasil estimasi VaR harian tingkat keyakinan 95% menunjukkan ANTM memiliki risiko kerugian 8,34% dan potensi profit 7,82%, sedangkan INCO dan MBMA memiliki bentangan lebih lebar. Secara sistemik, nilai CoVaR mengonfirmasi efek tularan kondisional yang spesifik antar-emiten dalam ekosistem. Pada tingkat keyakinan 95%, risiko kondisional yang diterima oleh saham ANTM akibat guncangan seluruh emiten nikel lainnya adalah 9,22% dengan potensi profit 10,34%. Sementara itu, guncangan spesifik pada INCO mentransmisikan risiko tularan sebesar 11,09% (potensi profit 12,50%) kepada emiten lainnya, dan guncangan pada MBMA mentransmisikan risiko tularan sebesar 9,73% dengan lonjakan potensi keuntungan ekstrem mencapai 18,74% ke dalam ekosistem. Melalui analisis Delta CoVaR, saham INCO teridentifikasi sebagai kontributor utama risiko sistemik terbesar yang paling rentan memicu efek domino. Selaras dengan ranah risk measurement yang tidak memperhatikan inferensi statistik, fluktuasi harga nikel LME dipertahankan tanpa melihat signifikansinya murni sebagai komponen spesifikasi model untuk mengoptimalkan kalkulasi CoVaR tanpa mengabaikan guncangan pasar komoditas. Penelitian ini menjadi landasan strategis bagi investor dalam diversifikasi portofolio dan mitigasi risiko sistemik industri nikel.
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Indonesia controls 42.31% of global nickel reserves, triggering massive investment in downstream mining issuers including PT Aneka Tambang Tbk (ANTM), PT Vale Indonesia Tbk (INCO), and PT Merdeka Battery Materials Tbk (MBMA). High volatility and the fat-tailed characteristics of stock returns demand robust risk measurement. This study aims to estimate individual risk using a hybrid ARMA-GARCH-EVT Value at Risk (VaR) model alongside systemic risk using quantile regression-based Conditional Value at Risk (CoVaR). London Metal Exchange (LME) nickel log returns are incorporated as an external macroeconomic control variable. Utilizing daily trading data from August 01, 2023, to April 28, 2026, daily VaR estimations at a 95% confidence level indicate that ANTM has a daily downside risk of 8.34% and a profit potential of 7.82%, whereas INCO and MBMA exhibit wider spans. Systemically, CoVaR values confirm specific conditional spillover effects among issuers within the ecosystem. At a 95% confidence level, the conditional risk received by ANTM due to shocks from all other nickel issuers is 9.22% with a profit potential of 10.34%. Meanwhile, a specific shock to INCO transmits a spillover risk of 11.09% (profit potential of 12.50%) to other issuers, and a shock to MBMA transmits a spillover risk of 9.73% with an extreme profit potential surge reaching 18.74% into the ecosystem. Through Delta CoVaR analysis, INCO is identified as the primary and largest systemic risk contributor that is most vulnerable to triggering a domino effect. Aligned with the scope of risk measurement that does not account for statistical inference, LME nickel price fluctuations are retained regardless of their statistical significance, strictly serving as a model specification component to optimize CoVaR calculations without overlooking commodity market shocks. This research serves as a strategic foundation for investors in portfolio diversification and systemic risk mitigation within the nickel industry.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | CoVaR, EVT, GARCH, Hilirisasi Nikel, VaR, CoVaR, EVT, GARCH, Nickel Downstreaming, VaR |
| Subjects: | H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HC Economic History and Conditions > HC441 Macroeconomics. H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4910 Investments H Social Sciences > HG Finance > HG4915 Stocks--Prices |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis |
| Depositing User: | Ida Bagus Panya Ananda Yogi |
| Date Deposited: | 29 Jul 2026 01:13 |
| Last Modified: | 29 Jul 2026 01:13 |
| URI: | http://repository.its.ac.id/id/eprint/139162 |
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