Agustina, Meri (2026) Analisis Risiko Saham Sektor Geothermal Berbasis Value At Risk Pendekatan Extreme Value Theory Dan Conditional Value At Risk Pendekatan Regresi Kuantil Dengan Variabel Eksogen". Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Sektor geothermal memiliki peran strategis dalam transisi energi dan menjadi salah satu subsektor energi terbarukan yang menarik bagi investor, tetapi karakteristik return saham geothermal berpotensi mengandung risiko ekstrem yang perlu diukur secara tepat. Penelitian ini bertujuan menganalisis risiko investasi saham sektor geothermal di Bursa Efek Indonesia dengan mempertimbangkan variabel eksogen. Objek penelitian terdiri atas saham PT Pertamina Geothermal Energy Tbk (PGEO) dan PT Barito Renewables Energy Tbk (BREN), dengan variabel eksogen berupa Brent Oil, kurs USD/IDR, dan Volatility Index (VIX). Metode yang digunakan meliputi statistika deskriptif, Granger Causality Test, Value at Risk (VaR) berbasis Extreme Value Theory dengan pendekatan Block Maxima dan Peaks Over Threshold, serta Conditional Value at Risk (CoVaR) menggunakan regresi kuantil. Evaluasi kelayakan model dilakukan melalui backtesting dengan kupiec test. Hasil penelitian menunjukkan bahwa saham BREN memiliki return rata-rata dan risiko historis yang lebih tinggi dibandingkan PGEO, sedangkan kedua saham menunjukkan karakteristik distribusi berekor tebal. Hasil Granger Causality Test menunjukkan bahwa kurs USD/IDR memiliki hubungan prediktif terhadap PGEO, sedangkan VIX memiliki hubungan prediktif terhadap BREN. Estimasi VaR menunjukkan bahwa BREN memiliki tingkat risiko ekstrem yang lebih tinggi dibandingkan PGEO, dengan pendekatan Peaks Over Threshold yang lebih sensitif dalam menangkap risiko ekor distribusi. Estimasi CoVaR menunjukkan bahwa risiko kondisional PGEO lebih berkaitan dengan kurs USD/IDR, sedangkan risiko kondisional BREN terutama dipengaruhi oleh risiko PGEO dan VIX pada kondisi tertentu. Berdasarkan backtesting, CoVaR memberikan hasil yang lebih konsisten pada PGEO, sedangkan VaR menunjukkan performa yang baik pada BREN.
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The geothermal sector plays a strategic role in the energy transition and has become one of the renewable energy subsectors that attracts investors. However, geothermal stock returns may contain extreme risks that need to be measured accurately. This study aims to analyze the investment risk of geothermal sector stocks listed on the Indonesia Stock Exchange by considering exogenous variables. The objects of this study are PT Pertamina Geothermal Energy Tbk (PGEO) and PT Barito Renewables Energy Tbk (BREN), with exogenous variables consisting of Brent Oil, the USD/IDR exchange rate, and the Volatility Index (VIX). The methods used include descriptive statistics, the Granger Causality Test, Value at Risk (VaR) based on Extreme Value Theory using the Block Maxima and Peaks Over Threshold approaches, and Conditional Value at Risk (CoVaR) using quantile regression. Model adequacy is evaluated through backtesting using the Kupiec test. The results show that BREN has a higher average return and higher historical risk than PGEO, while both stocks exhibit fat-tailed return distributions. The Granger Causality Test shows that the USD/IDR exchange rate has predictive information for PGEO, whereas VIX has predictive information for BREN. The VaR estimation indicates that BREN has a higher level of extreme risk than PGEO, with the Peaks Over Threshold approach being more sensitive in capturing tail risk. The CoVaR estimation shows that PGEO’s conditional risk is more closely related to the USD/IDR exchange rate, while BREN’s conditional risk is mainly influenced by PGEO’s risk and VIX under certain conditions. Based on backtesting, CoVaR provides more consistent results for PGEO, whereas VaR shows good performance for BREN.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Conditional Value at Risk, Extreme Value Theory, Geothermal, Regresi Kuantil, Value at Risk, Conditional Value at Risk, Extreme Value Theory, Geothermal, Quantile Regression, Value at Risk |
| Subjects: | H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4915 Stocks--Prices |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Statistics |
| Depositing User: | Meri Agustina |
| Date Deposited: | 30 Jul 2026 07:59 |
| Last Modified: | 30 Jul 2026 07:59 |
| URI: | http://repository.its.ac.id/id/eprint/139534 |
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