BibTex Citation Data :
@article{J.Gauss33989, author = {Nidaul Khoir and Di Asih Maruddani and Dwi Ispriyanti}, title = {PREDIKSI HARGA SAHAM MENGGUNAKAN GEOMETRIC BROWNIAN MOTION WITH JUMP DIFFUSION DAN ANALISIS RISIKO DENGAN EXPECTED SHORTFALL (Studi Kasus: Harga Penutupan Saham PT. Waskita Karya Persero Tbk.)}, journal = {Jurnal Gaussian}, volume = {11}, number = {1}, year = {2022}, keywords = {Jump Diffusion Process,;Expected Shortfall; Risk;Extreme Value}, abstract = { Investment is an activity that is quite popular among investors in recent years. One of the forms of investment in the financial sector is investing in the capital market by buying stocks in a company. The level of profit from stock investment activities can be seen from the value of stock returns. Factors that can affect the value of stock returns are stock prices. However, stock prices often experience unpredictable changes so that they experience fluctuating movements with increasing time and developing situations, therefore a stock price model is needed to predict stock prices in the future period. The Geometric Brownian Motion with Jump Diffusion’s method is more appropriate to be used in predicting stock prices if there is a jump in stock price data. Predicted stock prices can be used as a basis for measuring the value of investment risk. The results of data processing indicate that the stock return data of PT. Waskita Karya Persero Tbk has a kurtosis value > 3 which means there is a jump in stock return data so that it is more accurately modeled using the Geometric Brownian Motion with Jump Diffusion’s method. The prediction results have a good level of accuracy based on the MAPE value of 18,733%. Furthermore, in order to measure the investment risk of the predicted stock price of PT. Waskita Karya Persero Tbk used the Expected Shortfall Historical Simulation’s method with a significance level of α = 5%, the results were 0,10939, and for the significance level α = 10%, the results were 0,07596. The calculation results show that the greater the trust level used, the greater the risk borne by investors. Keywords : Jump Diffusion Process, Expected Shortfall, Risk, Extreme Value }, issn = {2339-2541}, pages = {153--162} doi = {10.14710/j.gauss.v11i1.33989}, url = {https://ejournal3.undip.ac.id/index.php/gaussian/article/view/33989} }
Refworks Citation Data :
Investment is an activity that is quite popular among investors in recent years. One of the forms of investment in the financial sector is investing in the capital market by buying stocks in a company. The level of profit from stock investment activities can be seen from the value of stock returns. Factors that can affect the value of stock returns are stock prices. However, stock prices often experience unpredictable changes so that they experience fluctuating movements with increasing time and developing situations, therefore a stock price model is needed to predict stock prices in the future period. The Geometric Brownian Motion with Jump Diffusion’s method is more appropriate to be used in predicting stock prices if there is a jump in stock price data. Predicted stock prices can be used as a basis for measuring the value of investment risk. The results of data processing indicate that the stock return data of PT. Waskita Karya Persero Tbk has a kurtosis value > 3 which means there is a jump in stock return data so that it is more accurately modeled using the Geometric Brownian Motion with Jump Diffusion’s method. The prediction results have a good level of accuracy based on the MAPE value of 18,733%. Furthermore, in order to measure the investment risk of the predicted stock price of PT. Waskita Karya Persero Tbk used the Expected Shortfall Historical Simulation’s method with a significance level of α = 5%, the results were 0,10939, and for the significance level α = 10%, the results were 0,07596. The calculation results show that the greater the trust level used, the greater the risk borne by investors.
Keywords: Jump Diffusion Process, Expected Shortfall, Risk, Extreme Value
Article Metrics:
Last update:
The Authors submitting a manuscript do so on the understanding that if accepted for publication, copyright of the article shall be assigned to Media Statistika journal and Department of Statistics, Universitas Diponegoro as the publisher of the journal. Copyright encompasses the rights to reproduce and deliver the article in all form and media, including reprints, photographs, microfilms, and any other similar reproductions, as well as translations.
Jurnal Gaussian and Department of Statistics, Universitas Diponegoro and the Editors make every effort to ensure that no wrong or misleading data, opinions or statements be published in the journal. In any way, the contents of the articles and advertisements published in Jurnal Gaussian journal are the sole and exclusive responsibility of their respective authors and advertisers.
The Copyright Transfer Form can be downloaded here: [Copyright Transfer Form Jurnal Gaussian]. The copyright form should be signed originally and send to the Editorial Office in the form of original mail, scanned document or fax :
Dr. Rukun Santoso (Editor-in-Chief) Editorial Office of Jurnal GaussianDepartment of Statistics, Universitas DiponegoroJl. Prof. Soedarto, Kampus Undip Tembalang, Semarang, Central Java, Indonesia 50275Telp./Fax: +62-24-7474754Email: jurnalgaussian@gmail.com
Jurnal Gaussian by Departemen Statistika Undip is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Visitor Number:
View statistics