COPULA FRANK PADA VALUE at RISK (VaR) PEMBENTUKAN PORTOFOLIO BIVARIAT (Studi Kasus : Saham-Saham Perusahaan yang Meraih Predikat The IDX Top Ten Blue Tahun 2017 dengan Periode Saham 20 Oktober 2014 – 28 Februari 2018)

Abstract

The capital market has an important role in society to invest in financial instruments. Investors can invest in the form of a portfolio that is by combining several shares to reduce the risk that will occur. Value at Risk (VaR) is a method for estimating the worst risk of an investment. GARCH (Generalized Autoregressive Conditional Heteroscedasticity) is used to model high-volatile stock data that causes residual variance is not constant. Copula theory is a powerful tool for modeling joint distributions because it does not require normality assumptions that are difficult to fulfill in financial data. Copula Frank has a feature that can identify positive and negative dependencies. This study aims to measure the value of VaR using the Frank-GARCH copula method using stock returns data of PT Bank Rakyat Indonesia, Tbk (BBRI), PT Telekomunikasi Indonesia, Tbk (TLKM), and PT. Unilever Indonesia, Tbk (UNVR) for the period 20 October 2014 - 28 February. Bivariate portfolio pairs obtained namely TLKM and UNVR shares because they have the highest Rho Spearman residual correlation value of ρ = 0.3204. Based on the generation of data using Monte Carlo simulations, the results of the calculation of Value at Risk (VaR) of 1.40% at the 90% confidence level, 1.89% at the 95% confidence level, and 2.79% at the 99% confidence level.

Keywords: Value at Risk, Frank copula, GARCH, Monte Carlo