Value-at-Risk analysis using ARMAX GARCHX approach for estimating risk of banking subsector stock return’s

Ratih, Iis Dewi; Ulama, Brodjol Sutijo Suprih; Prastuti, Mike

doi:10.1088/1742-6596/974/1/012029

Cited by 4 publications

(4 citation statements)

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“…There is research about the measurement of risk estimation as done by Handayani et al (2018), which analyzes Value at Risk using ARMAX-GARCHX to estimate the return risk of the property and real estate sub-sector. A similar study was also conducted by Ratih et al (2018) in sub-sector banking. Both studies show the conclusion that calculation of Value at Risk (VaR) with ARMAX-GARCHX approach is suitable for use on stock return data that has volatility and is influenced by exogenous variables, namely the return of the IDR/USD exchange rate and the return of the JCI.…”

Section: A Introductionmentioning

confidence: 70%

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Value-At-Risk Analysis Using ARIMAX-GARCHX Approach For Estimating Risk Of Bank Central Asia Stock Returns

Arumningtyas

Prahutama

Kartikasari

2021

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Before buying a stock, an investor must estimate the risk which will be received. VaR is one of the methods that can be used to measure the level of risk. Most stock returns have a high fluctuation, so the variant is heteroscedastic, which is thought to be caused by exogenous variables. The time series model used to model data that is not only influenced by the previous period but is also influenced by exogenous variables is ARIMAX. In contrast, the GARCHX model is used to obtain a more optimal stock return data model with heteroscedasticity cases and is influenced by exogenous variables. This study uses the ARIMAX-GARCHX model to calculate the VaR of the stock returns of PT Bank Central Asia Tbk. The exogenous variables used are the exchange rate return of IDR/USD and the return of the JCI in the period January 3, 2017, to March 31, 2021. The best model chosen is the ARIMAX(2,0,1,1)-GARCHX(1,1,1). VaR calculation is carried out with the concept of moving windows with time intervals of 250, 375, and 500 transaction days. The results obtained at the 95% confidence level, the maximum loss obtained by an investor is 1,4%.

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Section: A Introductionmentioning

confidence: 70%

“…The calculation of the VaR using the normal distribution approach is formulated as follows (Ratih et al, 2018):…”

Section: Value-at-riskmentioning

confidence: 99%

Value-At-Risk Analysis Using ARIMAX-GARCHX Approach For Estimating Risk Of Bank Central Asia Stock Returns

Arumningtyas

Prahutama

Kartikasari

2021

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“…Terdapat 10 perusahaan yang sahamnya termasuk dalam kategori Undervalued dan sebanyak 16 perusahaan yang sahamnya termasuk dalam kategori Overvalued sehingga keputusan yang diambil adalah membeli saham saat Undervalued dan menjual saham saat Overvalued [4]. Analisis risiko pada sub sektor perbankan yaitu perhitungan nilai VaR ARMAX-GARCHX menggunakan window 500 memberikan hasil yang lebih akurat dan secara keseluruhan BCA adalah satu-satunya bank yang memiliki perkiraan kerugian maksimum di kauntil 5% [5].…”

Section: Pendahuluanunclassified

Analisis Keputusan Investasi dan Pengelompokan Saham IDX High Dividend 20 Tahun 2018-2020 Menggunakan Analisis Fundamental Mikro

Putri¹,

Prastuti²,

Dwijosumarno

2022

JSSITS

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Abstrak-Saham sebagai salah instrumen investasi jangka panjang dalam pelaksanaannya diperlukan perhitungan dan analisis. Tujuan dari penelitian ini adalah untuk menganalisis keputusan investasi saham IDX High Dividend 20 dengan analisis fundamental mikro. Metode yang digunakan diantaranya yaitu Price Earning Ratio (PER) dan analisis klaster. Nilai intrinsik saham yang diperoleh dibandingkan dengan harga saham di pasar dan dilanjutkan dengan pengelompokan saham menggunakan analisis klaster. Hasil penelitian ini menunjukkan bahwa keputusan investasi tahun 2018 dan 2019 untuk saham BBCA dan BBRI adalah overvalued yaitu investor saham sebaiknya menjual saham BBCA atau BBRI jika telah memiliki kedua saham tersebut dan tidak membeli jika belum memiliki. Sedangkan untuk 13 saham lainnya adalah undervalued yaitu sebaiknya investor saham membeli 13 saham jika belum memiliki saham tersebut dan tidak menjual jika telah memiliki. Sedangkan pada tahun 2020, keputusan investasi saham adalah overvalued untuk saham ITMG dan UNTR, tidak ada keputusan investasi untuk saham GGRM dan LPPF, serta 11 saham lainnya adalah undervalued. Hasil pengelompokan 15 saham diperoleh bahwa kelompok optimum tahun 2018 yaitu sebanyak 4 kelompok dengan metode single linkage dan average linkage, kelompok optimum tahun 2019 yaitu 3 kelompok dengan metode single linkage, dan kelompok optimum tahun 2020 yaitu 3 kelompok dengan metode complete linkage. Kata Kunci-Analisis Fundamental, Analisis Klaster, Investasi, Saham.

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“…Simulation results were based on the 1000 input-output experimental data acquired during wood drying. RLS algorithm in Equations (14) and 15…”

Section: Computation Of the Model Parameters Based On Rlsmentioning

confidence: 99%

System Identification of Wood Drying Process Based on ARMAX Model

Zhou¹,

Zhang²,

Bao-fu³

et al. 2019

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This article presents system identification of wood drying process based on ARMAX model. Temperature and equivalent moisture content are considered as inputs, and moisture content of the wood sample during drying is taken as output of the system. The comparative study of RLS and FF-RLS to identify the system parameters is presented. Simulation results are presented to validate the efficacy of the ARMAX model for wood drying process.

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Value-at-Risk analysis using ARMAX GARCHX approach for estimating risk of banking subsector stock return’s

Cited by 4 publications

References 1 publication

Value-At-Risk Analysis Using ARIMAX-GARCHX Approach For Estimating Risk Of Bank Central Asia Stock Returns

Value-At-Risk Analysis Using ARIMAX-GARCHX Approach For Estimating Risk Of Bank Central Asia Stock Returns

Analisis Keputusan Investasi dan Pengelompokan Saham IDX High Dividend 20 Tahun 2018-2020 Menggunakan Analisis Fundamental Mikro

System Identification of Wood Drying Process Based on ARMAX Model

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