PERBANDINGAN RESIKO INVESTASI BANK CENTRAL ASIA DAN BANK MANDIRI MENGGUNAKAN MODEL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (GARCH)

Authors

  • Nurul Saadah
  • Maiyastri .
  • Hazmira Yozza

DOI:

https://doi.org/10.25077/jmu.5.4.80-88.2016

Abstract

Abstrak. Data return saham adalah salah satu data deret waktu. Jika ingin melakukan
pemodelan return, maka dapat dilakukan pemodelan deret waktu. Model rataan return
menggunakan model Autoregressive Moving Average (ARMA). Sedangkan untuk memodelkan
ragam digunakan model Generalized Autoregressive Conditional Heteroscedasticity
(GARCH). Setelah melakukan beberapa tahapan diperoleh model ARMA(1,0) dan
GARCH(1,1) sebagai model terbaik untuk data return saham Bank Central Asia. Sedangkan
model terbaik untuk data return saham Bank Mandiri adalah model ARMA(0,1)
dan GARCH(1,1). Model yang diperoleh digunakan untuk melakukan peramalan return
dan volatilitas dalam pengukuran resiko. Salah satu alat ukur yang digunakan untuk
mengukur resiko adalah Value at Risk. Dari perhitungan resiko untuk kedua bank diperoleh
bahwa resiko maksimum Bank Mandiri lebih besar dari resiko maksimum Bank
Central Asia.

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Published

29-11-2016

Issue

Vol. 5 No. 4 (2016)

Section

Articles

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