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primary topic: http://digilib.uin-suka.ac.id/id/eprint/71771

http://digilib.uin-suka.ac.id/id/eprint/71771
type: Thesis
type: Article
title: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN MODEL MACHINE LEARNING DENGAN PENDEKATAN VALUE AT RISK (VAR) (STUDI KASUS: SAHAM TLKM, BRIS, DAN ASII DALAM INDEKS SAHAM JAKARTA ISLAMIC INDEX 70 (JII70) PERIODE 1 SEPTEMBER 2020 - 31 DESEMBER 2023)
abstract: Stocks are one of the most popular capital market instruments among investors, particularly in the context of sharia-compliant investments. In practice, understanding potential risks is essential to ensure that investment decisions remain aligned with sharia principles. One commonly used method to estimate potential losses is Value at Risk (VaR), which provides an estimate of the maximum loss within a certain time period and confidence level. The selection of the VaR method in this study is based on its ability to simplify risk information into a single numerical value that is easy to understand. With the advancement of technology, machine learning has increasingly been utilized to predict stock prices accurately and efficiently. This study aims to evaluate stock risk using machine learning models with a VaR approach. The study uses daily stock price data from the Jakarta Islamic Index 70 (JII70), focusing on three selected stocks: TLKM (Telkom Indonesia), BRIS (Bank Syariah Indonesia), and ASII (Astra International). The data period analyzed spans from September 1, 2020, to December 31, 2023. The dataset is divided using an 80% ratio for training data and 20% for testing data. The next stage is the application of machine learning models to predict stock prices. Several algorithms used in this study include Random Forest, Support Vector Regression (SVR), and K-Nearest Neighbor (KNN). Based on the predicted stock prices, returns are calculated, which then serve as the basis for risk analysis using the VaR approach. The analysis results show that SVR is the most accurate model based on the lowest RMSE and MAE values, making it the best model for risk estimation. The VaR calculation using SVR shows that BRIS has the highest risk and return potential compared to TLKM and ASII across various time horizons, making it more suitable for investors with a aggressive risk profile.
date: 2025-06-10
status: published
author list: authors
type: EPrint
type: ThesisEPrint
is part of: repository
has document: http://digilib.uin-suka.ac.id/id/document/1006422
has version: http://digilib.uin-suka.ac.id/id/document/1006422
has published: http://digilib.uin-suka.ac.id/id/document/1006422
has document: http://digilib.uin-suka.ac.id/id/document/1006423
has version: http://digilib.uin-suka.ac.id/id/document/1006423
has published: http://digilib.uin-suka.ac.id/id/document/1006423
has document: http://digilib.uin-suka.ac.id/id/document/1006466
has document: http://digilib.uin-suka.ac.id/id/document/1006467
has document: http://digilib.uin-suka.ac.id/id/document/1006468
has document: http://digilib.uin-suka.ac.id/id/document/1006469
has document: http://digilib.uin-suka.ac.id/id/document/1006470
has document: http://digilib.uin-suka.ac.id/id/document/1006471
has document: http://digilib.uin-suka.ac.id/id/document/1006472
has document: http://digilib.uin-suka.ac.id/id/document/1006473
subject: 510 Mathematics (Matematika)

http://digilib.uin-suka.ac.id/id/document/1006422
type: Document
label: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN MODEL MACHINE LEARNING DENGAN PENDEKATAN VALUE AT RISK (VAR) (STUDI KASUS: SAHAM TLKM, BRIS, DAN ASII DALAM INDEKS SAHAM JAKARTA ISLAMIC INDEX 70 (JII70) PERIODE 1 SEPTEMBER 2020 - 31 DESEMBER 2023) (Text)
has file: 21106010049_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
has part: 21106010049_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf

http://digilib.uin-suka.ac.id/id/document/1006423
type: Document
label: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN MODEL MACHINE LEARNING DENGAN PENDEKATAN VALUE AT RISK (VAR) (STUDI KASUS: SAHAM TLKM, BRIS, DAN ASII DALAM INDEKS SAHAM JAKARTA ISLAMIC INDEX 70 (JII70) PERIODE 1 SEPTEMBER 2020 - 31 DESEMBER 2023) (Text)

UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

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

NIM.: 21106010049 Khoirun Nikmah
type: Person
given name: NIM.: 21106010049
family name: Khoirun Nikmah

http://digilib.uin-suka.ac.id/id/document/1006466
type: Document
label: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN MODEL MACHINE LEARNING DENGAN PENDEKATAN VALUE AT RISK (VAR) (STUDI KASUS: SAHAM TLKM, BRIS, DAN ASII DALAM INDEKS SAHAM JAKARTA ISLAMIC INDEX 70 (JII70) PERIODE 1 SEPTEMBER 2020 - 31 DESEMBER 2023) (Other)
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http://digilib.uin-suka.ac.id/id/document/1006467
type: Document
label: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN MODEL MACHINE LEARNING DENGAN PENDEKATAN VALUE AT RISK (VAR) (STUDI KASUS: SAHAM TLKM, BRIS, DAN ASII DALAM INDEKS SAHAM JAKARTA ISLAMIC INDEX 70 (JII70) PERIODE 1 SEPTEMBER 2020 - 31 DESEMBER 2023) (Other)
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http://digilib.uin-suka.ac.id/id/document/1006468
type: Document
label: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN MODEL MACHINE LEARNING DENGAN PENDEKATAN VALUE AT RISK (VAR) (STUDI KASUS: SAHAM TLKM, BRIS, DAN ASII DALAM INDEKS SAHAM JAKARTA ISLAMIC INDEX 70 (JII70) PERIODE 1 SEPTEMBER 2020 - 31 DESEMBER 2023) (Other)
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http://digilib.uin-suka.ac.id/id/document/1006469
type: Document
label: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN MODEL MACHINE LEARNING DENGAN PENDEKATAN VALUE AT RISK (VAR) (STUDI KASUS: SAHAM TLKM, BRIS, DAN ASII DALAM INDEKS SAHAM JAKARTA ISLAMIC INDEX 70 (JII70) PERIODE 1 SEPTEMBER 2020 - 31 DESEMBER 2023) (Other)
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http://digilib.uin-suka.ac.id/id/document/1006470
type: Document
label: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN MODEL MACHINE LEARNING DENGAN PENDEKATAN VALUE AT RISK (VAR) (STUDI KASUS: SAHAM TLKM, BRIS, DAN ASII DALAM INDEKS SAHAM JAKARTA ISLAMIC INDEX 70 (JII70) PERIODE 1 SEPTEMBER 2020 - 31 DESEMBER 2023) (Other)
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has file: lightbox.jpg
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http://digilib.uin-suka.ac.id/id/document/1006471
type: Document
label: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN MODEL MACHINE LEARNING DENGAN PENDEKATAN VALUE AT RISK (VAR) (STUDI KASUS: SAHAM TLKM, BRIS, DAN ASII DALAM INDEKS SAHAM JAKARTA ISLAMIC INDEX 70 (JII70) PERIODE 1 SEPTEMBER 2020 - 31 DESEMBER 2023) (Other)
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has file: preview.jpg
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http://digilib.uin-suka.ac.id/id/document/1006472
type: Document
label: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN MODEL MACHINE LEARNING DENGAN PENDEKATAN VALUE AT RISK (VAR) (STUDI KASUS: SAHAM TLKM, BRIS, DAN ASII DALAM INDEKS SAHAM JAKARTA ISLAMIC INDEX 70 (JII70) PERIODE 1 SEPTEMBER 2020 - 31 DESEMBER 2023) (Other)
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has file: medium.jpg
has part: medium.jpg

http://digilib.uin-suka.ac.id/id/document/1006473
type: Document
label: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN MODEL MACHINE LEARNING DENGAN PENDEKATAN VALUE AT RISK (VAR) (STUDI KASUS: SAHAM TLKM, BRIS, DAN ASII DALAM INDEKS SAHAM JAKARTA ISLAMIC INDEX 70 (JII70) PERIODE 1 SEPTEMBER 2020 - 31 DESEMBER 2023) (Other)
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https://digilib.uin-suka.ac.id/id/eprint/71771/
title: HTML Summary of #71771 ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN MODEL MACHINE LEARNING DENGAN PENDEKATAN VALUE AT RISK (VAR) (STUDI KASUS: SAHAM TLKM, BRIS, DAN ASII DALAM INDEKS SAHAM JAKARTA ISLAMIC INDEX 70 (JII70) PERIODE 1 SEPTEMBER 2020 - 31 DESEMBER 2023)
format: text/html
primary topic: http://digilib.uin-suka.ac.id/id/eprint/71771

510 Mathematics (Matematika)
type: Concept