ANALISIS RISIKO SAHAM DAN PORTOFOLIO SYARIAH MENGGUNAKAN VALUE AT RISK (VAR)-EXPONENTIAL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY (EGARCH)

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.

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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.

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