ANALISIS RISIKO SAHAM SYARIAH DENGAN CONDITIONAL VALUE AT RISK (CVAR) BERBASIS MODEL ARIMAX-APARCH (STUDI KASUS: FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JUNI 2011 - DESEMBER 2024)

Reni Widyaningrum, NIM.: 21106010074 (2025) ANALISIS RISIKO SAHAM SYARIAH DENGAN CONDITIONAL VALUE AT RISK (CVAR) BERBASIS MODEL ARIMAX-APARCH (STUDI KASUS: FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE JUNI 2011 - DESEMBER 2024). Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Sharia stock investment is an option for investors who want to obtain returns while adhering to sharia principles, such as avoiding usury and excessive speculation. The Indonesian Sharia Stock Index (ISSI) reflects the performance of sharia stocks in the Indonesian capital market and serves as an important reference for investors in monitoring returns and investment risks. This study aims to analyze the risk of sharia stock investment using the Conditional Value at Risk (CVaR) approach based on the Autoregressive Integrated Autoregressive Exogenous (ARIMAX) and Asymmetric Power Autoregressive Conditional Heteroskedasticity (APARCH) models. The data used include ISSI returns, the dollar exchange rate, the inflation rate, and Bank Indonesia interest rates for the period June 2011–December 2024. The analysis is conducted through stationarity testing, identification and estimation of the ARIMAX model, detection of ARCH and asymmetry effects, estimation of the APARCH model, selection of the best model, and calculation of VaR and CVaR. The results of the study show that the best ARIMAX is ARIMAX (1,0,0) without inflation variables, and the best APARCH is APARCH (2,0) with a normal distribution adjusted for Cornish Fisher Expansion. VaR for periods 1, 3, 6, and 12 months is valid at a 95% confidence level, with a maximum loss in the 12-month period of IDR 202,224.01 (20.2%) of the initial investment of IDR 1,000,000.00. Based on the valid VaR value, Conditional Value at Risk (CVaR) is used to measure the risk of extreme losses, namely the average loss that exceeds the VaR, with the estimated maximum loss in the 12-month period of IDR 253,147.58 (25.31%). This study shows that the CVaR-based ARIMAX-APARCH method is effective for estimating the risk of sharia stocks and helping investors make short-term, medium-term, and long-term investment decisions.

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