…
comment: The repository administrator has not yet configured an RDF license.
primary topic: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM)

ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM)
type: Thesis
type: Article
abstract: The fluctuating movement of the Jakarta Islamic Index (JII) indicates that Sharia-compliant stocks continue to exhibit market risk despite adhering to Islamic principles. This study aims to analyze the risk of the JII during the 2020–2025 period by integrating Bidirectional Long Short-Term Memory (BiLSTM), Monte Carlo simulation, and Value at risk (VaR). The data used in this study consist of the daily closing prices of the JII obtained from Yahoo Finance and transformed into log returns. A BiLSTM model was developed using a 60-day sliding window, a batch size of 32, and a maximum of 50 training epochs with an early stopping mechanism. The model predictions were then denormalized and used as the basis for a Monte Carlo simulation based on the Student-t distribution to estimate VaR at the 95% and 99% confidence levels. The results show that the BiLSTM model achieved a Mean Squared Error (MSE) of 0.000215, a Root Mean Squared Error (RMSE) of 0.014672, a Mean Absolute Error (MAE) of 0.010739, a Mean Absolute Percentage Error (MAPE) of 133.769363%, and a Directional Accuracy of 30.449827%. Fitting the residuals to the Student-t distribution produced a degree of freedom (df) of 4.903950, indicating a fat-tailed return distribution. The Monte Carlo simulation yielded a 1-day VaR of -0.029262 at the 95% confidence level and -0.048906 at the 99% confidence level. Backtesting using the Kupiec Proportion of Failures Test after calibration confirmed that both VaR estimates were statistically valid. Accordingly, the BiLSTM–Monte Carlo approach may serve as an alternative method for measuring the daily downside risk of the Jakarta Islamic Index.
date: 2026-06-03
status: published
author list: authors
type: EPrint
type: ThesisEPrint
is part of: repository
has document: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
has version: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
has published: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
has document: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Other)
subject: 515.6 Metode Analitik - Matematika

ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
type: Document
has file: 22106010076_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
has part: 22106010076_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf

ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
type: Document

UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

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

NIM.: 22106010076 Katya Royhana Dewi
type: Person
given name: NIM.: 22106010076
family name: Katya Royhana Dewi

ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Other)
type: Document
is version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
is volatile version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
islightbox thumbnail version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)

ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Other)
type: Document
is version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
is volatile version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
ispreview thumbnail version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)

ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Other)
type: Document
is version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
is volatile version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
ismedium thumbnail version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)

ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Other)
type: Document
is version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
is volatile version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
issmall thumbnail version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)

ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Other)
type: Document
is version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
is volatile version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
islightbox thumbnail version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
has file: lightbox.jpg
has part: lightbox.jpg

ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Other)
type: Document
is version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
is volatile version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
ispreview thumbnail version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
has file: preview.jpg
has part: preview.jpg

ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Other)
type: Document
is version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
is volatile version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
ismedium thumbnail version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
has file: medium.jpg
has part: medium.jpg

ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Other)
type: Document
is version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
is volatile version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
issmall thumbnail version of: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM) (Text)
has file: small.jpg
has part: small.jpg

HTML Summary of #77423 ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM)
format: text/html
primary topic: ANALISIS RISIKO SAHAM SYARIAH MENGGUNAKAN VALUE AT RISK (VAR) SIMULASI MONTE CARLO BERBASIS MODEL BI-DIRECTIONAL LONG SHORT TERM MEMORY (BI-LSTM)

515.6 Metode Analitik - Matematika
type: Concept