Estimation of Average Value at Risk (AVaR) on Sharia Joint-Stock Index Using Glosten, Jaggnathan and Runkle (GJR) model

Bakhtiar, Sri Muslihah; Ermawati, Ermawati; Syata, Ilham; Alwi, Wahidah; Ibnas, Risnawati; Anugrawati, Sri Dewi

doi:10.2991/assehr.k.210508.056

Cited by 2 publications

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“…According to Bakhtiar et al (2020) the asymmetric test is a property that shows an imbalance in certain conditions or objects. In the time series, the asymmetric nature is called the leverage effect or high volatility.…”

Section: Asymmetrymentioning

confidence: 99%

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Value-at-Risk Estimation of Indofood (ICBP) and Gas Company (PGAS) Stocks Using the ARMA-GJR-GARCH Model

Napitupulu¹,

Hidayana²,

Saputra³

2021

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Stocks are one of the most widely used financial market instruments by investors in investing. The most important component of any investment is volatility. Volatility is a conditional measure of variance in stock returns and is important for risk management. In addition to volatility, the important things in investing are return and risk. Risk can be measured using Value-at-Risk (VaR) and can estimate the maximum loss that occurs. The purpose of this study is to determine VaR using the Autoregressive Moving Average-Glosten Jagannatan Runkle-Generalized Autoregressive Conditional Heteroscedasticity (ARMA-GJR-GARCH) model. The stages of data analysis used are estimating the ARMA model and the GARCH model, then estimating the GJR-GARCH model by looking at the heteroscedasticity and asymmetric effects on the GARCH model. Next, determine the VaR value from the estimated mean and variance (volatility) using the ARMA-GJR-GARCH model. The results of the model estimator obtained are based on the return data for the four stocks analyzed, namely the ARMA (5,5)-GJR-GARCH (1,1) model for ICBP stocks and ARMA (1,2)-GJR-GARCH (1,1) for PGAS shares. The Value-at-Risk values of each stock are 0.060427 and 0.024724. This research can be used by investors as a consideration in making investment decisions.

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Section: Asymmetrymentioning

confidence: 99%

“…Measurement of risk in this study using Value at Risk. According to Bakhtiar et al (2020), Value at Risk is one of the most popular tools used by investors in measuring risk. Value at Risk is used as a measuring tool that can assess the worst losses in investing at a certain time and level of confidence.…”

Section: Introductionmentioning

confidence: 99%

Value-at-Risk Estimation of Indofood (ICBP) and Gas Company (PGAS) Stocks Using the ARMA-GJR-GARCH Model

Napitupulu¹,

Hidayana²,

Saputra³

2021

Orics

View full text Add to dashboard Cite

show abstract

“…Several studies that apply the ARCH-GARCH model include: (Bakhtiar et al, 2021) research uses the GJR-ARCH model in analyzing price data and measuring share price losses using AVAR as a measuring tool to assess the worst losses experienced by 125 investors. (Larasati et al, 2016) research using the GARCH model in predicting the price of nine staple foods to increase in 2015.…”

Section: A Introductionmentioning

confidence: 99%

Jurnal Varian Full Text

Soraya¹

2022

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The eyes are one of the vital organs owned by humans. One of the common eye diseases is cataracts. This disease is characterized by clouding of the lens of the eye and can interfere with vision. Worst case, sufferers can experience blindness. Cataract maturity can be divided into four categories, namely incipient, immature, mature, and hypermature. Cataracts can be removed through surgery when the cataract is in the mature or hypermature phase. Cataract examination is usually done using a slit lamp. The lack of hospitals that have this equipment can cause delays in the healing process for cataract sufferers. This study created an image processing algorithm for the maturity classification process of cataracts using the Convolutional Neural Network method with LeNet network architecture. The algorithm that has been built is capable of classifying the maturity of cataracts with an accuracy rate of 93.33%.

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Estimation of Average Value at Risk (AVaR) on Sharia Joint-Stock Index Using Glosten, Jaggnathan and Runkle (GJR) model

Cited by 2 publications

References 0 publications

Value-at-Risk Estimation of Indofood (ICBP) and Gas Company (PGAS) Stocks Using the ARMA-GJR-GARCH Model

Value-at-Risk Estimation of Indofood (ICBP) and Gas Company (PGAS) Stocks Using the ARMA-GJR-GARCH Model

Jurnal Varian Full Text

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