MODIFIED VALUE-AT-RISK DI BAWAH CAPM DENGAN PENDEKATAN MODEL ARMAX-GARCH 2 (MODIFIED VALUE-AT-RISK UNDER CAPM BY ARMAX-GARCH MODEL APPROACH)

Sukono Sukono

Abstract


Dalam paper ini dibahas pengukuran risiko  investasi berdasarkan  Modified Value-at-Risk
di bawah  Capital Asset Pricing Model. Diasumsikan bahwa  return  indeks pasar memiliki ratarata  tak-konstan  serta  terdapat  efek  long  memory.  Rata-rata  dari  return  indeks  pasar diestimasi menggunakan model-model ARFIMA. Diasumsikan pula bahwa premi risiko saham berkorelasi dengan premi risiko pasar, dan premi risiko saham beberapa waktu sebelumnya. Korelasi tersebut akan dianalisis menggunakan pendekatan model ARMAX-GARCH.  Modified Value-at-Risk  selanjutnya  dirumuskan  berdasarkan  Capital  asset  Pricing  Model  dengan pendekatan model ARMAX-GARCH tersebut. Untuk mengukur kinerja  Modified Value-at-Risk yang  telah  dirumuskan  dilakukan  dengan  back testing.  Back testing  dilakukan  berdasarkan metode Lopez II. Sebagai studi kasus, dianalisis beberapa data saham yang diperdagangkan dalam pasar modal di Indonesia.

Keywords


Modified Value-at-Risk; CAPM; ARFIMA; ARMAX-GARCH; Back Testing;

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References


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