ESTIMASI NILAI VaR PORTOFOLIO MENGGUNAKAN FUNGSI ARCHIMEDEAN COPULA
Abstract: Value at Risk
explains the magnitude of the worst losses occurred in financial products
investments with a certain level of confidence and time interval. The purpose
of this study is to estimate the VaR of portfolio using Archimedean Copula
family. The methods for calculating the VaR are as follows: (1) calculating the
stock return; (2) calculating descriptive statistics of return; (3) checking
for the nature of autocorrelation and heteroscedasticity effects on stock
return data; (4) checking for the presence of extreme value by using Pareto
tail; (5) estimating the parameters of Achimedean Copula family; (6) conducting
simulations of Archimedean Copula; (7) estimating the value of the stock
portfolio VaR. This study uses the closing price of TLKM and GGRM. At 90% the
VaR obtained using Clayton, Gumbel, Frank copulas are 0.9562%, 1.0189%, 0.9827%
respectively. At 95% the VaR obtained using Clayton, Gumbel, Frank copulas are
1.2930%, 1.2522%, 1.3152% respectively. At 99% the VaR obtained using Clayton,
Gumbel, Frank copulas are 2.0327%, 1.9164%, is 1.8678% respectively. In
conclusion estimation of VaR using Clayton copula yields the highest VaR.
Penulis: AULIA ATIKA PRAWIBTA
SUHARTO, KOMANG DHARMAWAN, I WAYAN SUMARJAYA
Kode Jurnal: jpmatematikadd170161
