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...
Saved in:
Main Authors: | , , , , , |
---|---|
Format: | Conference or Workshop Item |
Language: | English |
Published: |
2019
|
Subjects: | |
Online Access: | http://eprints.unisza.edu.my/1868/1/FH03-FPP-20-37013.pdf http://eprints.unisza.edu.my/1868/ |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
id |
my-unisza-ir.1868 |
---|---|
record_format |
eprints |
spelling |
my-unisza-ir.18682020-11-23T08:09:03Z http://eprints.unisza.edu.my/1868/ ARIMA-GARCH model for estimation of value-at-risk and expected shortfall of some stocks in Indonesian capital market Puspa Liza, Ghazali Sukono, . Soeryana, E Simanjuntak, A Santoso, A Bon, A.T. HG Finance 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 2019 Conference or Workshop Item NonPeerReviewed text en http://eprints.unisza.edu.my/1868/1/FH03-FPP-20-37013.pdf Puspa Liza, Ghazali and Sukono, . and Soeryana, E and Simanjuntak, A and Santoso, A and Bon, A.T. (2019) ARIMA-GARCH model for estimation of value-at-risk and expected shortfall of some stocks in Indonesian capital market. In: 1st GCC International Conference on Industrial Engineering and Operations Management, IEOM 2019;, 26-28 November 2019, riyadh; Saudi Arabia. |
institution |
Universiti Sultan Zainal Abidin |
building |
UNISZA Library |
collection |
Institutional Repository |
continent |
Asia |
country |
Malaysia |
content_provider |
Universiti Sultan Zainal Abidin |
content_source |
UNISZA Institutional Repository |
url_provider |
https://eprints.unisza.edu.my/ |
language |
English |
topic |
HG Finance |
spellingShingle |
HG Finance Puspa Liza, Ghazali Sukono, . Soeryana, E Simanjuntak, A Santoso, A Bon, A.T. ARIMA-GARCH model for estimation of value-at-risk and expected shortfall of some stocks in Indonesian capital market |
description |
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 |
format |
Conference or Workshop Item |
author |
Puspa Liza, Ghazali Sukono, . Soeryana, E Simanjuntak, A Santoso, A Bon, A.T. |
author_facet |
Puspa Liza, Ghazali Sukono, . Soeryana, E Simanjuntak, A Santoso, A Bon, A.T. |
author_sort |
Puspa Liza, Ghazali |
title |
ARIMA-GARCH model for estimation of value-at-risk and expected shortfall of some stocks in Indonesian capital market |
title_short |
ARIMA-GARCH model for estimation of value-at-risk and expected shortfall of some stocks in Indonesian capital market |
title_full |
ARIMA-GARCH model for estimation of value-at-risk and expected shortfall of some stocks in Indonesian capital market |
title_fullStr |
ARIMA-GARCH model for estimation of value-at-risk and expected shortfall of some stocks in Indonesian capital market |
title_full_unstemmed |
ARIMA-GARCH model for estimation of value-at-risk and expected shortfall of some stocks in Indonesian capital market |
title_sort |
arima-garch model for estimation of value-at-risk and expected shortfall of some stocks in indonesian capital market |
publishDate |
2019 |
url |
http://eprints.unisza.edu.my/1868/1/FH03-FPP-20-37013.pdf http://eprints.unisza.edu.my/1868/ |
_version_ |
1684657765253906432 |
score |
13.160551 |