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primary topic: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE

ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE
type: Thesis
type: Article
abstract: 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).
date: 2025-05-21
status: published
author list: authors
type: EPrint
type: ThesisEPrint
is part of: repository
has document: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Text)
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has document: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Other)
subject: 510 Mathematics (Matematika)

ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Text)
type: Document
has file: 21106010035_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
has part: 21106010035_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf

ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Text)
type: Document

UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

NIM.: 21106010035 Anggi Puspitaningrum
type: Person
given name: NIM.: 21106010035
family name: Anggi Puspitaningrum

ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Other)
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ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Other)
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is version of: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Text)
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ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Other)
type: Document
is version of: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Text)
is volatile version of: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Text)
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ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Other)
type: Document
is version of: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Text)
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ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Other)
type: Document
is version of: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Text)
is volatile version of: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Text)
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ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Other)
type: Document
is version of: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Text)
is volatile version of: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Text)
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ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Other)
type: Document
is version of: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Text)
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ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Other)
type: Document
is version of: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Text)
is volatile version of: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE (Text)
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primary topic: ANALISIS RISIKO VALUE AT RISK VARIANCE-COVARIANCE DENGAN PENDEKATAN NONPARAMETRIK B-SPLINE

510 Mathematics (Matematika)
type: Concept