TY  - THES
N1  - Muhamad Farhan Qudratullah, M.Sc,
ID  - digilib34071
UR  - https://digilib.uin-suka.ac.id/id/eprint/34071/
A1  - YAYUK TRI LESTARI, NIM. 14610031
Y1  - 2018/08/24/
N2  - Investment in the financial sectorbis currently being done by investors but
many investors do not know the result of their investements, the investement can
bring profit or loss. One way to reduce the risk receives by investors is by
investing in a portfolio. The portfolio itself is a collection or several assets or
securities that are invested by investors to reduce the risk received. Risk can be
managed by estimating using a value at risk measure. This study uses the Copula-
GARCH method to calculate the risk obtained. GARCH (Generalized
Autoregressive Conditional Heterocedasticity) is an autoregressive time series
approach model. GARCH has the advantages that the residuals variance that is
formed tends to be constant or these is no heterocedasticity effect. However, time
series models generally cannot fulfill the assumption of normality. Copula is a
function that can combine or install a multivariate distribution function with a
dimensional marginal distribution function. Copula itself has the advanteages of
not requiring the assumption of normality. In this study, copula used copula
Clayton, Copula Frank, and copula Gumbel. So if there is a normality assumption,
if there is no GARCH modeling, then it will be followed by copula odelling to
calculate the risk of using VaR.
This study estimates VaR by using Copula-GARCH in two stocks with the
highest correlation value of 0.325, namely the iCBP and UNVR stock daily return
for 1 May 2014 until 30 April 2018. In VaR calculation using the Monte Carlo
simulation it will be known that the greater the return simulation performed the
more constant the risk received by the Archamedian copula. The simulation return
who used 100, 500, 1.000 and 10.000 with the risk of obtained copula Clayton are
12.68%, 12.12%, 11.68% dan 11.68%.
PB  - UIN SUNAN KALIJAGA YOGYAKARTA
KW  - Monte Carlo
KW  -  Value at Risk (VaR)
KW  -  Copula
KW  -  Copula Archamedian
M1  - skripsi
TI  - ESTIMASI VALUE AT RISK (VAR) PADA PORTOFOLIO SAHAM
MENGGUNAKAN METODE COPULA-GARCH
(STUDI KASUS SAHAM ICBP DAN UNVR PERIODE 1 MEI 2014 ? 30 APRIL 2018)
AV  - restricted
EP  - 255
ER  -