ESTIMASI CVAR PADA PORTOFOLIO SAHAM MENGGUNAKAN METODE GJR-EVT DENGAN PENDEKATAN D-VINE COPULA

Abstract

Risk measure using Conditional Value at Risk can be calculate if values that exceeds the p-quantile is known in VaR. The models used to accommodate characteristics of the stock portfolio in this research are EVT-GARCH-D-vine copula and EVT-GJR-D-vine copula so the performance of these two models can be compared. A comparison of the performance of the EVT-GARCH-D-vine copula and EVT-GJR-D-vine copula models can be seen from the Kupiec test backtesting process. Exceeded value Kupiec Test on CVaR 99% is 2, CVaR 95% is 6, and CVaR 90% is 13 for AR(1)-GARCH-t(1,1)-GPD and CVaR 99% is 3, CVaR 95% is 7, and CVaR 90% is 13 for AR(1)-GJR-t(1,1)-GPD. The Kupiec test describes the estimated risk value of CVaR running well with the value of the entire model above the significant level of ? = 0.05 so as to provide a conclusion of risk estimates considered feasible.

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Author Biographies

DERY MAULANA, Universitas Udayana

Program Studi Matematika, Fakultas MIPA – Universitas Udayana

KOMANG DHARMAWAN, Universitas Udayana

Program Studi Matematika, Fakultas MIPA – Universitas Udayana

I GUSTI AYU MADE SRINADI, Universitas Udayana

Program Studi Matematika, Fakultas MIPA – Universitas Udayana

Published
2022-05-31
How to Cite
MAULANA, DERY; DHARMAWAN, KOMANG; SRINADI, I GUSTI AYU MADE. ESTIMASI CVAR PADA PORTOFOLIO SAHAM MENGGUNAKAN METODE GJR-EVT DENGAN PENDEKATAN D-VINE COPULA. E-Jurnal Matematika, [S.l.], v. 11, n. 2, p. 127-139, may 2022. ISSN 2303-1751. Available at: <https://ojs.unud.ac.id/index.php/mtk/article/view/87236>. Date accessed: 28 mar. 2024. doi: https://doi.org/10.24843/MTK.2022.v11.i02.p372.
Section
Articles

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