eprintid: 78688
rev_number: 10
eprint_status: archive
userid: 12460
dir: disk0/00/07/86/88
datestamp: 2026-10-05 08:32:34
lastmod: 2026-10-05 08:32:34
status_changed: 2026-10-05 08:32:34
type: thesis
metadata_visibility: show
contact_email: muh.khabib@uin-suka.ac.id
creators_name: Naiya Putri Rahayu, NIM.: 22106010056
title: ANALISIS RISIKO SAHAM DAN PORTOFOLIO SYARIAH MENGGUNAKAN VALUE AT RISK (VAR)-EXPONENTIAL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY (EGARCH)
ispublished: pub
subjects: 560
divisions: jur_mat
full_text_status: restricted
keywords: Value at Risk, EGARCH, Risiko Investasi, Volatilitas, Portofolio Syariah
note: Dr. Mohammad Farhan Qudratullah, S.Si., M.Si.
abstract: Stock investment always involves uncertainty because the actual return obtained by investors may differ from the expected return. Therefore, risk measurement is essential for supporting investment decision-making. This study aims to analyze the risk of individual Sharia stocks and stock portfolios listed in the Jakarta Islamic Index 70 (JII70) using the Value at Risk (VaR) method based on the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model. The data used in this study consist of daily closing prices of JII70 stocks during the period from January 2021 to December 2024. The analysis includes return calculation, stationarity testing using the Augmented Dickey–Fuller (ADF) test, ARIMA modeling, ARCH effect testing, EGARCH volatility modeling, VaR estimation, and Kupiec Test for model validation. The portfolio was constructed from selected stocks with the highest return-to-risk ratio. The results show that the best volatility models are EGARCH (1,1) for ITMG, EGARCH (2,3) for AKRA, EGARCH (2,4) for ISAT, and EGARCH (4,3) for the portfolio, while MAPI does not exhibit ARCH effects, and its volatility is represented by the standard deviation of returns. The VaR estimation indicates that MAPI has the highest risk (4.26%), followed by ISAT (3.63%), AKRA (3.58%), and ITMG (3.44%). Meanwhile, the portfolio has the lowest VaR (2.50%), indicating that portfolio diversification effectively reduces investment risk. Furthermore, the Kupiec Test confirms that all VaR models are valid for estimating daily investment risk.
date: 2026-08-14
date_type: published
pages: 145
institution: UIN SUNAN KALIJAGA YOGYAKARTA
department: FAKULTAS SAINS DAN TEKNOLOGI
thesis_type: skripsi
thesis_name: other
citation:   Naiya Putri Rahayu, NIM.: 22106010056  (2026) ANALISIS RISIKO SAHAM DAN PORTOFOLIO SYARIAH MENGGUNAKAN VALUE AT RISK (VAR)-EXPONENTIAL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY (EGARCH).  Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.   
document_url: https://digilib.uin-suka.ac.id/id/eprint/78688/1/22106010056_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
document_url: https://digilib.uin-suka.ac.id/id/eprint/78688/2/22106010056_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf