ARIMA-GARCH model for estimation of value-at-risk and expected shortfall of some stocks in Indonesian capital market
In stock investments, keep in mind the movements and risk of losses that may occur from investments made. One way to calculate risk is to use Value-at-Risk and Expected Shortfall. The purpose of this research is to determine the amount Value-at-Risk and Expected Shortfall of selected stocks using...
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| Main Authors: | , , , , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2019
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| Subjects: | |
| Online Access: | http://eprints.unisza.edu.my/1868/1/FH03-FPP-20-37013.pdf http://eprints.unisza.edu.my/1868/ |
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| Summary: | In stock investments, keep in mind the movements and risk of losses that may occur from investments made. One
way to calculate risk is to use Value-at-Risk and Expected Shortfall. The purpose of this research is to determine the
amount Value-at-Risk and Expected Shortfall of selected stocks using the time series model approach. The data used
in this study is the daily closing price of some stocks for three years. In the time series modeling process, the models
used for predicting stock movements are Autoregressive Integrated Moving Average (ARIMA) for the mean model, and
Generalized Autoregressive Conditional Heteroscedasticty (GARCH) for the volatility model. The values of mean and
variance obtained from the model are then used to calculate the Value-at-Risk and Expected Shortfall of each preferred
stock. Based on the analysis, it was found that from the selected stocks, Bank Mandiri stocks had the lowest risk level
and Mustika Ratu stocks had the highest risk level with the Value-at-Risk value of stocks generally smaller than the
Expected Shortfall value |
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