relation: https://digilib.uin-suka.ac.id/id/eprint/30343/
title: PENERAPAN MODEL EXPONENTIAL SMOOTH TRANSITION AUTOREGRESSIVE (ESTAR) PADA ANALISIS RISIKO DENGAN VALUE AT RISK (VAR) (STUDI KASUS: INDEKS HARGA SAHAM PT UNITED TRACTORS PERIODE OKTOBER 2016 SAMPAI OKTOBER 2017)
creator: NUR FAUZIYAH, NIM. 13610030
subject: Matematika
description: Investment is an activity in a particular business that aims to gain profit. In the investment activity, an investor faced with two things namely the rate of return and risk. Because by knowing the big risks it can be for consideration in buying a stock. In calculating the risk required the value of volatility of a stock, by way of being approached with the standard deviation value. The problem is every day the stock volatility changes are not constant as well as the stock data is not symmetrical (asymmetric). Therefore, a tool that can predict the value of volatility is required. In the science of statistics, a tool for predicting volatility is by modeling forecasting. One tool in forecasting is the ESTAR model (p, q). Then the ESTAR modeling (p, q) is combined with the VaR model to predict the magnitude of the risk. The Exponential Smooth Transition Autoregressive (ESTAR) model is a Smooth Transition Autoregressive (STAR) model with exponential functionality. Selection of transition function ( ) is obtained from the nonlinearity test of STAR model. The exact form of transition function can be determined by the Lagrange Multiplier type three (LM3) test. The data used in this research is PT United Tractors shares in Jakarta Islamic Index (JII) stock which consistently traded in period 3 October 2016 - 27 October 2017. The results of this study indicate that the ESTAR model (1,1) is the best model for modeling volatility. VaR-ESTAR calculation (1,1) found that if the initial investment fund is Rp.10.000.000,00, the valid model to forecast the risk of 1 day ahead with the risk of Rp. 420.241,-
date: 2018-02-23
type: Thesis
type: NonPeerReviewed
format: text
language: en
identifier: https://digilib.uin-suka.ac.id/id/eprint/30343/2/13610030_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
format: text
language: en
identifier: https://digilib.uin-suka.ac.id/id/eprint/30343/1/13610030_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf
identifier:   NUR FAUZIYAH, NIM. 13610030  (2018) PENERAPAN MODEL EXPONENTIAL SMOOTH TRANSITION AUTOREGRESSIVE (ESTAR) PADA ANALISIS RISIKO DENGAN VALUE AT RISK (VAR) (STUDI KASUS: INDEKS HARGA SAHAM PT UNITED TRACTORS PERIODE OKTOBER 2016 SAMPAI OKTOBER 2017).  Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.