PENERAPAN METODEEXPECTED SHORTFALLPADA PENGUKURAN RISIKO INVESTASI SAHAM DENGAN VOLATILITAS MODEL GARCH

*Nurul Fitria Fitria Rizani  -  Departemen Statistika FSM Universitas Diponegoro, Indonesia
Mustafid Mustafid  -  Departemen Statistika FSM Universitas Diponegoro, Indonesia
Suparti Suparti  -  Departemen Statistika FSM Universitas Diponegoro, Indonesia
Received: 12 Feb 2020; Published: 13 Feb 2020.
View
Open Access Copyright 2020 Jurnal Gaussian
License URL: http://creativecommons.org/licenses/by-nc-sa/4.0

Citation Format:
Abstract

One of the methods that can be used to measure stock investment risk is Expected Shortfall (ES). ES is an expectation of risk size which value is greater than Value at Risk (VaR), ES has characteristics of sub-additive and convex. The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is used to model stock data that has high volatility. Calculating ES is done with data that shows deviations from normality using Cornish-Fisher's expansion. This researchapplies the ES at the closing stock price of PT Astra International Tbk. (ASII), PT Bank Negara Indonesia (Persero) Tbk. (BBNI), and PT Indocement Tunggal Prakarsa Tbk. (INTP) for the period of 11 February 2013 - 31 March 2019. Based on the volatility of GARCH (1,1) analysis, we find ES calculation for each stock by 95% level  confidence. The ES for ASII shares is 4.1%, greater than the VaR value which isonly 2.64%.The ES for BBNI shares is 4.38%, greater than it’s VaR value which is only 2,86%. The ES for INTP shares is 6.22%, which is also greater than it’s VaR value which is only3,99%. The greather of VaR then Thegreather of ES obtained.

Keywords: Expected Shortfall, Value at Risk, GARCH
Keywords: Expected Shortfall, Value at Risk, GARCH

Article Metrics: