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

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Published

01-02-2017

Issue

Vol. 6 No. 1 (2017)

Section

Articles

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