VALUE AT RISK PADA PORTOFOLIO SAHAM DENGAN COPULA ALI-MIKHAIL-HAQ

*Delsy Nurutsaniyah  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Tatik Widiharih  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Di Asih I Maruddani  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Published: 29 Nov 2019.
Open Access Copyright 2020 Jurnal Gaussian
License URL: http://creativecommons.org/licenses/by-nc-sa/4.0

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Abstract

Investment is one alternative to increase assets in the future. Investors can invest in a portfolio to reduce the level of risk. Value at Risk (VaR) is a measuring tool that can calculate the worst loss over a given time period at a given confidence level. GARCH (Generalized Autoregressive Conditional Heteroskedasticity) is used to model data with high volatility. The teory of copula is a powerful tool for modeling joint distribution for any marginal distributions. Ali-Mikhail-Haq copula from Archimedean copula family can be applied to data with dependencies τ between -0.1817 to 0.3333. This research uses Ali-Mikhail-Haq copula with a Monte Carlo simulation to calculate a bivariate portfolio VaR from a combination stocks of PT Pembangunan Perumahan Tbk. (PTPP), PT Bank Tabungan Negara Tbk. (BBTN), and PT Jasa Marga Tbk. (JSMR) in the period of March 3, 2014 - March 1, 2019. The results of VaR calculation on bivariate portfolio for next 1 day period obtained the lowest VaR is owned by bivariate portfolio between PTPP and JSMR with a weight of 30% and 70% at confidence level of 99%, 95%, and 90% respectively are 4.014%, 2.545%, and 1.876%.

Keywords: Value at Risk, GARCH, Ali-Mikhail-Haq Copula, Monte Carlo

Keywords: Value at Risk, GARCH, Ali-Mikhail-Haq Copula, Monte Carlo

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