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primary topic: http://digilib.uin-suka.ac.id/id/eprint/71776

http://digilib.uin-suka.ac.id/id/eprint/71776
type: Thesis
type: Article
title: ANALISIS RISIKO VALUE AT RISK (VAR) VARIANS-KOVARIANS DENGAN PENDEKATAN NONPARAMETRIK KERNEL (STUDI KASUS : FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JULI 2018 – DESEMBER 2023)
abstract: ISSI is an index that describes the movement of stock prices listed on the Indonesia Stock Exchange. Return is the rate of return on investment that shows the change in the value of an asset or investment in a certain period. The movement of stock return values requires a strategy in analyzing stock return risk. This study aims to determine the steps for analyzing the Value at Risk (VaR) Variance-Covariance risk, to determine the best ISSI return prediction model with nonparametric regression, and to determine the maximum return and loss of the best regression model for the period July 2018 to December 2023. This study uses two kernel functions, namely Gaussian and Epanechnikov. The selection of bandwidth uses minimum Generalized Cross Validation (GCV) with the best model based on the smallest MSE, AIC and BIC values. After the VaR estimate is obtained, a validity test is carried out to embed the resulting VaR estimate. Based on the analysis obtained, the best model in predicting ISSI returns is the Gaussian kernel regression model with an MSE value of 2,40×10−4, AIC of -5,42×102, and BIC of −5,33×102. ISSI return predictions fluctuate as the investment period increases. In the 1-3 month period, the return is in the negative zone, but in the 12 month period, the return is positive by 4.33%. The maximum loss of the best model (Gaussian function) in predicting ISSI returns for the July 2018 - December 2023 period with a 95% confidence level in a 12 month period is Rp88.980,46 or 8.89%.
date: 2025-05-21
status: published
author list: authors
type: EPrint
type: ThesisEPrint
is part of: repository
has document: http://digilib.uin-suka.ac.id/id/document/1006432
has version: http://digilib.uin-suka.ac.id/id/document/1006432
has published: http://digilib.uin-suka.ac.id/id/document/1006432
has document: http://digilib.uin-suka.ac.id/id/document/1006433
has version: http://digilib.uin-suka.ac.id/id/document/1006433
has published: http://digilib.uin-suka.ac.id/id/document/1006433
has document: http://digilib.uin-suka.ac.id/id/document/1006500
has document: http://digilib.uin-suka.ac.id/id/document/1006501
has document: http://digilib.uin-suka.ac.id/id/document/1006502
has document: http://digilib.uin-suka.ac.id/id/document/1006503
has document: http://digilib.uin-suka.ac.id/id/document/1006504
has document: http://digilib.uin-suka.ac.id/id/document/1006505
has document: http://digilib.uin-suka.ac.id/id/document/1006506
has document: http://digilib.uin-suka.ac.id/id/document/1006507
subject: 510 Mathematics (Matematika)

http://digilib.uin-suka.ac.id/id/document/1006432
type: Document
label: ANALISIS RISIKO VALUE AT RISK (VAR) VARIANS-KOVARIANS DENGAN PENDEKATAN NONPARAMETRIK KERNEL (STUDI KASUS : FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JULI 2018 – DESEMBER 2023) (Text)
has file: 21106010058_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
has part: 21106010058_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf

http://digilib.uin-suka.ac.id/id/document/1006433
type: Document
label: ANALISIS RISIKO VALUE AT RISK (VAR) VARIANS-KOVARIANS DENGAN PENDEKATAN NONPARAMETRIK KERNEL (STUDI KASUS : FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JULI 2018 – DESEMBER 2023) (Text)

UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

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

NIM.: 21106010058 Tiara Afrista
type: Person
given name: NIM.: 21106010058
family name: Tiara Afrista

http://digilib.uin-suka.ac.id/id/document/1006500
type: Document
label: ANALISIS RISIKO VALUE AT RISK (VAR) VARIANS-KOVARIANS DENGAN PENDEKATAN NONPARAMETRIK KERNEL (STUDI KASUS : FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JULI 2018 – DESEMBER 2023) (Other)
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http://digilib.uin-suka.ac.id/id/document/1006501
type: Document
label: ANALISIS RISIKO VALUE AT RISK (VAR) VARIANS-KOVARIANS DENGAN PENDEKATAN NONPARAMETRIK KERNEL (STUDI KASUS : FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JULI 2018 – DESEMBER 2023) (Other)
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http://digilib.uin-suka.ac.id/id/document/1006502
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label: ANALISIS RISIKO VALUE AT RISK (VAR) VARIANS-KOVARIANS DENGAN PENDEKATAN NONPARAMETRIK KERNEL (STUDI KASUS : FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JULI 2018 – DESEMBER 2023) (Other)
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http://digilib.uin-suka.ac.id/id/document/1006503
type: Document
label: ANALISIS RISIKO VALUE AT RISK (VAR) VARIANS-KOVARIANS DENGAN PENDEKATAN NONPARAMETRIK KERNEL (STUDI KASUS : FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JULI 2018 – DESEMBER 2023) (Other)
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http://digilib.uin-suka.ac.id/id/document/1006504
type: Document
label: ANALISIS RISIKO VALUE AT RISK (VAR) VARIANS-KOVARIANS DENGAN PENDEKATAN NONPARAMETRIK KERNEL (STUDI KASUS : FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JULI 2018 – DESEMBER 2023) (Other)
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http://digilib.uin-suka.ac.id/id/document/1006505
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label: ANALISIS RISIKO VALUE AT RISK (VAR) VARIANS-KOVARIANS DENGAN PENDEKATAN NONPARAMETRIK KERNEL (STUDI KASUS : FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JULI 2018 – DESEMBER 2023) (Other)
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http://digilib.uin-suka.ac.id/id/document/1006506
type: Document
label: ANALISIS RISIKO VALUE AT RISK (VAR) VARIANS-KOVARIANS DENGAN PENDEKATAN NONPARAMETRIK KERNEL (STUDI KASUS : FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JULI 2018 – DESEMBER 2023) (Other)
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http://digilib.uin-suka.ac.id/id/document/1006507
type: Document
label: ANALISIS RISIKO VALUE AT RISK (VAR) VARIANS-KOVARIANS DENGAN PENDEKATAN NONPARAMETRIK KERNEL (STUDI KASUS : FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JULI 2018 – DESEMBER 2023) (Other)
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https://digilib.uin-suka.ac.id/id/eprint/71776/
title: HTML Summary of #71776 ANALISIS RISIKO VALUE AT RISK (VAR) VARIANS-KOVARIANS DENGAN PENDEKATAN NONPARAMETRIK KERNEL (STUDI KASUS : FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JULI 2018 – DESEMBER 2023)
format: text/html
primary topic: http://digilib.uin-suka.ac.id/id/eprint/71776

510 Mathematics (Matematika)
type: Concept