Article Per Year (5 Year)
p-Index From 2019 - 2024
1.235
P-Index
This Author published in this journals
All Journal Electronic Journal of Graph Theory and Applications (EJGTA) JTAM (Jurnal Teori dan Aplikasi Matematika) Milang Journal of Mathematics and Its Applications
Fendy Septyanto
IPB University
Agriculture, Biological Sciences & Forestry Computer Science & IT Control & Systems Engineering Earth & Planetary Sciences Electrical & Electronics Engineering Mathematics

Published : 6 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search
Journal : JTAM (Jurnal Teori dan Aplikasi Matematika)

 1 
Modelling Dependencies of Stock Indices During Covid-19 Pandemic by Extreme-Value Copula Retno Budiarti; Kumala Intansari; I Gusti Putu Purnaba; Fendy Septyanto
JTAM (Jurnal Teori dan Aplikasi Matematika) Vol 7, No 3 (2023): July
Publisher : Universitas Muhammadiyah Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31764/jtam.v7i3.15109

Abstract

Quantifying dependence among variables is the core of all modelling efforts in financial models. In the recent years, copula was introduced to model the dependence structure among financial assets return, and its application developed fast. A large number of studies on copula have been performed, but the study of multivariate extremes related with copulas was quite behind in comparison with the research on copulas. The COVID-19 pandemic is an extreme event that has caused the collapse of various economic activities which resulted in the decline of stock prices. The modelling of extreme events is therefore important to mitigate huge financial losses. Extreme-value copula can be suitable to quantify dependencies among assets under an extreme event. In this paper, we study the modelling of extreme value dependence using extreme value copulas on finance data. This model was applied in the portfolio of the IDX Composite Index (IHSG), Straits Times Index (STI) and Kuala Lumpur Stock Exchange (KLSE). Each individual asset return is modelled by the ARMA-GARCH and the joint distribution is modelled using extreme value copulas. This empirical study showed that Gumbel copula is the most appropriate extreme value copulas for the three indices. The results of this study are expected to be used as a basis for investors in the formation of a portfolio consisting of 2 financial assets and a portfolio consisting of 3 financial assets. 
Co-Authors Berlian Setiawaty D. S. Rahmawati I Gusti Putu Purnaba I Gusti Putu Purnaba I Gusti Putu Purnaba Indrya Adilla Kiki A. Sugeng Kumala Intansari Retno Budiarti Retno Budiarti Ruhiyat Ruhiyat Windiani Erliana Windiani Erliana Yuda Ardiansyah