ESTIMASI VALUE AT RISK MENGGUNAKAN VOLATILITAS DISPLACED DIFFUSION

  • MIRANDA NOVI MARA DEWI
  • KOMANG DHARMAWAN Prodi Matematika FMIPA Universitas Udayana
  • KARTIKA SARI Prodi Matematika FMIPA Universitas Udayana

Abstract

Value at Risk (VaR) is a measure of risk that is able to calculate the worst possible loss that can occurs to stock prices with a certain level of confidence and within a certain period of time. The purpose of this study was to determine the VaR estimate from PT. Indonesian Telecommunications by using Displaced Diffusion volatility. The Displaced Diffusion Model is a stochastic volatility model that describes changes in a financial asset assuming volatility is not constant, but follows a stochastic process. Displaced Diffusion model are capable of modelling skewed implied volatility structures and frequently applied by interest rate quants. Based on the estimation of Displaced Diffusion volatility, it is found that volatility for PT. Indonesian Telecommunications is 0.010168 and VaR estimation using Displaced Diffusion volatility with a confidence level of  95 percent of 1.63%.

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Published
2019-11-30
How to Cite
DEWI, MIRANDA NOVI MARA; DHARMAWAN, KOMANG; SARI, KARTIKA. ESTIMASI VALUE AT RISK MENGGUNAKAN VOLATILITAS DISPLACED DIFFUSION. E-Jurnal Matematika, [S.l.], v. 8, n. 4, p. 298-302, nov. 2019. ISSN 2303-1751. Available at: <https://ojs.unud.ac.id/index.php/mtk/article/view/54990>. Date accessed: 13 aug. 2020. doi: https://doi.org/10.24843/MTK.2019.v08.i04.p268.
Section
Articles

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