Metode Historis untuk Perhitungan Value at Risk pada Model Generalized Autoregressive Conditional Heteroscedacity in Mean

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...

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Autores principales:	Alfi Reny Kusumaningtyas, Abdul Aziz
Formato:	article
Lenguaje:	EN
Publicado:	Department of Mathematics, UIN Sunan Ampel Surabaya 2016
Materias:	VaR Historical Method GARCH-M Mathematics QA1-939
Acceso en línea:	https://doaj.org/article/c557334797fc4d249301d11344f09f08
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spelling	oai:doaj.org-article:c557334797fc4d249301d11344f09f082021-12-02T14:53:31ZMetode Historis untuk Perhitungan Value at Risk pada Model Generalized Autoregressive Conditional Heteroscedacity in Mean2527-31592527-316710.15642/mantik.2016.2.1.1-6https://doaj.org/article/c557334797fc4d249301d11344f09f082016-10-01T00:00:00Zhttp://jurnalsaintek.uinsby.ac.id/index.php/mantik/article/view/62https://doaj.org/toc/2527-3159https://doaj.org/toc/2527-3167Investment 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.Alfi Reny KusumaningtyasAbdul AzizDepartment of Mathematics, UIN Sunan Ampel SurabayaarticleVaRHistorical MethodGARCH-MMathematicsQA1-939ENMantik: Jurnal Matematika, Vol 2, Iss 1, Pp 1-6 (2016)
institution	DOAJ
collection	DOAJ
language	EN
topic	VaR Historical Method GARCH-M Mathematics QA1-939
spellingShingle	VaR Historical Method GARCH-M Mathematics QA1-939 Alfi Reny Kusumaningtyas Abdul Aziz Metode Historis untuk Perhitungan Value at Risk pada Model Generalized Autoregressive Conditional Heteroscedacity in Mean
description	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.
format	article
author	Alfi Reny Kusumaningtyas Abdul Aziz
author_facet	Alfi Reny Kusumaningtyas Abdul Aziz
author_sort	Alfi Reny Kusumaningtyas
title	Metode Historis untuk Perhitungan Value at Risk pada Model Generalized Autoregressive Conditional Heteroscedacity in Mean
title_short	Metode Historis untuk Perhitungan Value at Risk pada Model Generalized Autoregressive Conditional Heteroscedacity in Mean
title_full	Metode Historis untuk Perhitungan Value at Risk pada Model Generalized Autoregressive Conditional Heteroscedacity in Mean
title_fullStr	Metode Historis untuk Perhitungan Value at Risk pada Model Generalized Autoregressive Conditional Heteroscedacity in Mean
title_full_unstemmed	Metode Historis untuk Perhitungan Value at Risk pada Model Generalized Autoregressive Conditional Heteroscedacity in Mean
title_sort	metode historis untuk perhitungan value at risk pada model generalized autoregressive conditional heteroscedacity in mean
publisher	Department of Mathematics, UIN Sunan Ampel Surabaya
publishDate	2016
url	https://doaj.org/article/c557334797fc4d249301d11344f09f08
work_keys_str_mv	AT alfirenykusumaningtyas metodehistorisuntukperhitunganvalueatriskpadamodelgeneralizedautoregressiveconditionalheteroscedacityinmean AT abdulaziz metodehistorisuntukperhitunganvalueatriskpadamodelgeneralizedautoregressiveconditionalheteroscedacityinmean
_version_	1718389473742422016

Metode Historis untuk Perhitungan Value at Risk pada Model Generalized Autoregressive Conditional Heteroscedacity in Mean

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