PENERAPAN METODE EXPONENTIALLY WEIGHTED MOVING AVERAGE (EWMA) DALAM PENGUKURAN RISIKO INEVSTASI SAHAM PORTOFOLIO UNTUK VOLATILITAS HETEROGEN

*Heni Dwi Wulandari  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Mustafid Mustafid  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Hasbi Yasin  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Received: 13 Feb 2020; Published: 13 Feb 2020.
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Open Access Copyright 2020 Jurnal Gaussian
License URL: http://creativecommons.org/licenses/by-nc-sa/4.0

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Abstract

Risk measurement is important in making an investment. One tool used in the measurement of investment risk is Value at Risk (VaR). VaR represents the greatest possible loss of investment with a given period and level of confidence. In the calculation of Value at Risk requires the assumption of normality and homogeneity. However, financial data rarely satisfies that assumption. Exponentially Weighted Moving Average is one method that can be used to overcome the existence of a heterogeneous variant. Daily volatility is calculated using the EWMA method by taking a decay factor of 0.94. VaR portfolio of ASII, BBNI and PTBA stocks is calculated using historical simulation method from the revised portfolio return with Hull and White volatility updating procedure. VaR values obtained are valid at a 99% confidence level based on the validity test of Kupiec PF and Basel rules.

 

Keywords: Value at Risk (VaR), Portfolio, EWMA, Historical Simulation, Volatility Updating

Keywords: Value at Risk (VaR), Portfolio, EWMA, Historical Simulation, Volatility Updating

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