MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG

MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG

<p><em>In investment, risk measurement is important. One of risk measure is Value at Risk (VaR). There are many methods that can be used to estimate risk based on VaR framework. One of them Non Linier GARCH (NGARCH) model. In this research, determination of VaR used NGARCH model. NGARCH...

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Main Authors: I KOMANG TRY BAYU MAHENDRA, KOMANG DHARMAWAN, NI KETUT TARI TASTRAWATI
Format: Article
Language:English
Published: Universitas Udayana 2015-06-01
Series:E-Jurnal Matematika
Subjects:
GARCH model
NGARCH model
Value at Risk
Online Access:http://ojs.unud.ac.id/index.php/mtk/article/view/13549
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spelling doaj-2c3ca9f6ce624250b37d3074bf157bc12020-11-24T22:41:53ZengUniversitas UdayanaE-Jurnal Matematika2303-17512015-06-0142596610183MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSGI KOMANG TRY BAYU MAHENDRA0KOMANG DHARMAWAN1NI KETUT TARI TASTRAWATI2Faculty of Mathematics and Natural Sciences, Udayana UniversityFaculty of Mathematics and Natural Sciences, Udayana UniversityFaculty of Mathematics and Natural Sciences, Udayana University<p><em>In investment, risk measurement is important. One of risk measure is Value at Risk (VaR). There are many methods that can be used to estimate risk based on VaR framework. One of them Non Linier GARCH (NGARCH) model. In this research, determination of VaR used NGARCH model. NGARCH model allowed for asymetric behaviour in the volatility such that “good news” or positive return and “bad news” or negative return. Based on calculations of VaR, the higher of the confidence level and the longer the investment period, the risk was greater. Determination of VaR using NGARCH model was less than GARCH model. </em></p>http://ojs.unud.ac.id/index.php/mtk/article/view/13549GARCH modelNGARCH modelValue at Risk
collection DOAJ
language English
format Article
sources DOAJ
author I KOMANG TRY BAYU MAHENDRA
KOMANG DHARMAWAN
NI KETUT TARI TASTRAWATI
spellingShingle I KOMANG TRY BAYU MAHENDRA
KOMANG DHARMAWAN
NI KETUT TARI TASTRAWATI
MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG
E-Jurnal Matematika
GARCH model
NGARCH model
Value at Risk
author_facet I KOMANG TRY BAYU MAHENDRA
KOMANG DHARMAWAN
NI KETUT TARI TASTRAWATI
author_sort I KOMANG TRY BAYU MAHENDRA
title MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG
title_short MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG
title_full MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG
title_fullStr MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG
title_full_unstemmed MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG
title_sort model non linier garch (ngarch) untuk mengestimasi nilai value at risk (var) pada ihsg
publisher Universitas Udayana
series E-Jurnal Matematika
issn 2303-1751
publishDate 2015-06-01
description <p><em>In investment, risk measurement is important. One of risk measure is Value at Risk (VaR). There are many methods that can be used to estimate risk based on VaR framework. One of them Non Linier GARCH (NGARCH) model. In this research, determination of VaR used NGARCH model. NGARCH model allowed for asymetric behaviour in the volatility such that “good news” or positive return and “bad news” or negative return. Based on calculations of VaR, the higher of the confidence level and the longer the investment period, the risk was greater. Determination of VaR using NGARCH model was less than GARCH model. </em></p>
topic GARCH model
NGARCH model
Value at Risk
url http://ojs.unud.ac.id/index.php/mtk/article/view/13549
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AT komangdharmawan modelnonliniergarchngarchuntukmengestimasinilaivalueatriskvarpadaihsg
AT niketuttaritastrawati modelnonliniergarchngarchuntukmengestimasinilaivalueatriskvarpadaihsg
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