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I KOMANG TRY BAYU MAHENDRA
Faculty of Mathematics and Natural Sciences, Udayana University
Mathematics

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MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG I KOMANG TRY BAYU MAHENDRA; KOMANG DHARMAWAN; NI KETUT TARI TASTRAWATI
E-Jurnal Matematika Vol 4 No 2 (2015)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2015.v04.i02.p090

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.
Co-Authors Komang Dharmawan Ni Ketut Tari Tastrawati