%0 Thesis
%9 Skripsi
%A Anggi Puspitaningrum, NIM.: 21106010035
%B FAKULTAS SAINS DAN TEKNOLOGI
%D 2025
%F digilib:71764
%I UIN SUNAN KALIJAGA YOGYAKARTA
%K Analisis Risiko, ISSI, Regresi B-Spline, Saham, Value at Risk
%P 161
%T ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE
%U https://digilib.uin-suka.ac.id/id/eprint/71764/
%X One of the Indonesian sharia stock indices listed on the Indonesia Stock Exchange is the Indonesian Sharia Stock Index (ISSI). Return and stock risk have a strong and linear relationship (high risk-high return). This requires investors to conduct risk analysis to set their strategies. The purpose of this study is to study and apply the Value at Risk Variance-Covariance risk analysis measures with the B-Spline nonparametric regression approach. Determine the best regression model based on the smallest Akaike Information Criterion (AIC) criteria. In addition, this study estimated the maximum expected return and loss in the period of 1 month, 3 months, and 6 months. The selection of the optimal knot point was carried out by two methods, namely Generalized Cross Validation (GCV) and Unbiased Risk (UBR) with the best model based on the smallest AIC value. After the results of the VaR estimate are obtained, its validity will be tested to determine the accuracy of the results. The results of this study obtained the best model using the Generalized Cross Validation (GCV) method with an AIC value of −368.0077. The predicted return value obtained from the best model for the 1-month period is 2.19%, the 3-month period is 7.30%, and the 6-month period is 2.10%. The expected return value in the 1, 3, and 6 months period was 0.045%, 0.14%, and 0.27%, respectively. The maximum losses of the best models at a 95% confidence level are 5.56% (1 month), 9.63% (3 months), and 13.63% (6 months).
%Z Moh. Farhan Qudratullah, S.Si., M.Si.