PENENTUAN RESIKO INVESTASI DENGAN MODEL GARCH PADA INDEKS HARGA SAHAM PT. INDOFOOD SUKSES MAKMUR TBK.

Authors

  • Lara Mahlindiani
  • Maiyastri .
  • Hazmira Yozza

DOI:

https://doi.org/10.25077/jmu.6.1.25-32.2017

Abstract

Abstrak. Ketika melakukan investasi saham, investor menginginkan return yang tinggi
namun dengan resiko yang rendah. Untuk mencapai tujuan investasi tersebut, dilakukan
pemodelan terhadap harga saham dengan beberapa model seperti Autoregressive (AR),
Moving Average (MA) dan Autoregressive Moving Average (ARMA). Aspek penting
lain yang berkaitan dengan investasi adalah pengukuran resiko dengan Value at Risk
(VaR) yang merupakan pengukuran kemungkinan kerugian terburuk dalam kondisi pasar
yang normal pada kurun waktu t dengan taraf kepercayaan tertentu. Salah satu model
yang dapat mengestimasi resiko adalah model Generalized Autoregressive Conditional
Heteroscedastic (GARCH). Oleh karena itu dalam penelitian ini digunakan model ARMA
dan GARCH pada indeks harga saham PT Indofood Sukses Makmur Tbk. Dari analisis
yang dilakukan didapatkan model terbaik adalah ARMA(3,1) dan GARCH(1,1).
Berdasarkan estimasi VaR diperoleh bahwa dengan taraf kepercayaan 95% kerugian
maksimum yang mungkin dialami investor setelah berinvestasi Rp. 50:000:000; 00 adalah
sebesar Rp. 1:219:588; 00.

Kata Kunci: Model AR, Model MA, Model ARMA, Value at Risk (VaR), Model GARCH

Downloads

Download data is not yet available.

Downloads

Published

01-02-2017

How to Cite

Mahlindiani, L., ., M., & Yozza, H. (2017). PENENTUAN RESIKO INVESTASI DENGAN MODEL GARCH PADA INDEKS HARGA SAHAM PT. INDOFOOD SUKSES MAKMUR TBK. Jurnal Matematika UNAND, 6(1), 25–32. https://doi.org/10.25077/jmu.6.1.25-32.2017

Issue

Vol. 6 No. 1 (2017)

Section

Articles

License

All articles published in Jurnal Matematika UNAND (JMUA) are open access and licensed under the Creative Commons Attribution-ShareAlike 4.0 International License (CC BY-SA 4.0). This license allows published content to be freely accessed, shared, redistributed, and adapted for any purpose, including commercial use, provided that the applicable license conditions are followed.

Copyright Holder

The copyright of articles published in Jurnal Matematika UNAND is held by the Departemen Matematika dan Sains Data, Fakultas Matematika dan Ilmu Pengetahuan Alam (FMIPA), Universitas Andalas (UNAND), in accordance with the journal's stated copyright policy.

Author Rights

Under the CC BY-SA 4.0 license, authors may share, distribute, and reuse their published articles, subject to the applicable license conditions. These rights include:

  • Self-Archiving: Authors may deposit their published articles in institutional repositories, personal websites, or academic platforms.

  • Reuse: Authors may reuse their published work in subsequent publications, research, teaching materials, or other lawful purposes, provided that appropriate attribution is maintained.

  • Distribution: Authors may share and distribute their published articles without requiring additional permission under the terms of the license.

Creative Commons License (CC BY-SA 4.0)

Under the CC BY-SA 4.0 license, users are free to:

  • Share: Copy and redistribute the material in any medium or format.

  • Adapt: Remix, transform, and build upon the material for any purpose, including commercial purposes.

These permissions are subject to the following conditions:

  • Attribution: Users must give appropriate credit to the original author(s), retain relevant copyright notices, provide a link to the license, and indicate if changes were made. Attribution must not imply endorsement by the author(s), copyright holder, or journal.

  • ShareAlike: If users remix, transform, or build upon the material, they must distribute their contributions under the same CC BY-SA 4.0 license or a compatible license.

  • No Additional Restrictions: Users may not apply legal terms or technological measures that legally restrict others from exercising the rights granted by the license.

For more information about the CC BY-SA 4.0 license, please visit:

https://creativecommons.org/licenses/by-sa/4.0/

Third-Party Content

Third-party materials, including figures, tables, photographs, and illustrations, are covered by the article's CC BY-SA 4.0 license only when their inclusion under that license is authorized.

Materials excluded from the license must be clearly identified with appropriate copyright notices and attribution. Authors are responsible for obtaining any necessary permissions, while users must comply with the applicable licensing terms or permissions when reusing excluded materials.

Copyright and Licensing Information

Copyright and licensing information should be clearly displayed on each published article's landing page and included in the full-text versions (HTML and PDF), where applicable, to ensure transparency regarding copyright ownership and permitted reuse.