Metode historis untuk perhitungan value at risk pada model generalized autoregressive conditional heteroscedacity in mean

Aziz, Abdul and Kusumaningtiyas, Alfi Reny (2016) Metode historis untuk perhitungan value at risk pada model generalized autoregressive conditional heteroscedacity in mean. Jurnal Matematika Mantik, 02 (01). pp. 1-6. ISSN 2527-3159

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Full text available at: http://dx.doi.org/10.15642/mantik.2016.2.1.1-6

Abstract

Investment is a commitment of the placement of the data on an object or a few investments with expectations will benefit in the future. The main motive is to seek investment gain or profit in a certain amount, but behind the good side there is one side that can harm or the risk of, for it required a measurement of risk where methods of value at risk (VaR) is very popular is widely used by the financial industry worldwide. Three main method on calculation of VaR historical method, parametric method and Monte Carlo method. So, the selected calculation of VaR GARCH-M model with historical simulation method on Bank Mandiri Tbk closing stock in 2005-2010. This research aims to know the calculation of VaR model GARCH-M through the historical method and implementation model GARCH-M on the computation of VaR via simulation on closing stock Bank Mandiri Tbk. Historical method approach is a model calculation of VaR is determined by the value of the past (historical) or return generated by simulation (repetition) of data used. The measures undertaken that explains the historical simulation method VaR models in the estimation of GARCH-M with a normal distribution, then apply GARCH-M in case of loss obtained by investors after investing with the help of Minitab software, E-views software and Matlab software.

Item Type: Journal Article
Keywords: VaR; Historical Method; GARCH-M
Subjects: 01 MATHEMATICAL SCIENCES > 0102 Applied Mathematics > 010205 Financial Mathematics
01 MATHEMATICAL SCIENCES > 0104 Statistics > 010401 Applied Statistics
14 ECONOMICS > 1402 Applied Economics > 140207 Financial Economics
14 ECONOMICS > 1403 Econometrics > 140302 Econometric and Statistical Methods
14 ECONOMICS > 1403 Econometrics > 140305 Time-Series Analysis
Divisions: Faculty of Mathematics and Sciences > Department of Mathematics
Depositing User: Mr. Abdul Aziz
Date Deposited: 07 Mar 2018 04:22

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