MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG

  • I KOMANG TRY BAYU MAHENDRA Faculty of Mathematics and Natural Sciences, Udayana University
  • KOMANG DHARMAWAN Faculty of Mathematics and Natural Sciences, Udayana University
  • NI KETUT TARI TASTRAWATI Faculty of Mathematics and Natural Sciences, Udayana University

Abstract

In investment, risk measurement is important. One of risk measure is Value at Risk (VaR). There are many methods that can be used to estimate risk based on VaR framework. One of them Non Linier GARCH (NGARCH) model. In this research, determination of VaR used NGARCH model. NGARCH model allowed for asymetric behaviour in the volatility such that “good news” or positive return and “bad news” or negative return. Based on calculations of VaR, the higher of the confidence level and the longer the investment period, the risk was greater. Determination of VaR using NGARCH model was less than GARCH model.

Author Biographies

I KOMANG TRY BAYU MAHENDRA, Faculty of Mathematics and Natural Sciences, Udayana University
Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University
KOMANG DHARMAWAN, Faculty of Mathematics and Natural Sciences, Udayana University
Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University
NI KETUT TARI TASTRAWATI, Faculty of Mathematics and Natural Sciences, Udayana University
Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University
Published
2015-05-30
How to Cite
MAHENDRA, I KOMANG TRY BAYU; DHARMAWAN, KOMANG; TASTRAWATI, NI KETUT TARI. MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG. E-Jurnal Matematika, [S.l.], v. 4, n. 2, p. 59 - 66, may 2015. ISSN 2303-1751. Available at: <https://ojs.unud.ac.id/index.php/mtk/article/view/13549>. Date accessed: 06 dec. 2019. doi: https://doi.org/10.24843/MTK.2015.v04.i02.p090.
Section
Articles

Keywords

GARCH model; NGARCH model; Value at Risk