Jurnal Riset Hukum, Ekonomi Islam, ekonomi, Manajemen dan Akuntansi
Vol. 2 No. 1 (2023): Januari

Peramalan Volatilitas IHSG dan Estimasi Value-at-Risk Menggunakan Model Student APARCH

Najibullah Najibullah (Politeknik Kutaraja, Banda Aceh, Aceh)
Ricky Ariansyah (Politeknik Kutaraja, Banda Aceh, Aceh)
Fitrian Rizky (Politeknik Kutaraja, Banda Aceh, Aceh)

Article Info

Publish Date
26 Jan 2023

Abstract

This study aim to find the best model to predict daily volatility of IHSG using APARCH model under student-t distribution, estimate value-at-risk measure based on the model and compare it with the value-at-risk measure estimated from GARCH. This study limits the search only on APARCH model class. The sample are IHSG dataset which is derived from yahoo finance, starting from Jan 1st, 2015 to Dec 31th, 2021. The result suggest that value-at-risk measure estimated using student APARCH are more adept to negatif shock than that of GARCH. Nevertheless, the result of value-at-risk back-testing do not show any significant differences between those two.

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Journal Info
Jurnal Riset Hukum, Ekonomi Islam, ekonomi, Manajemen dan Akuntansi
Website

Abbrev

jhei

Publisher

Sekolah Tinggi Ilmu Syari'ah Al-Hilal Sigli

Subject

Economics, Econometrics & Finance Law, Crime, Criminology & Criminal Justice Social Sciences

Description

The focus of the Journal is to provide readers with a better understanding, especially in the field of Islamic Economic Law in Indonesia and its surroundings. JHEI Journal is a journal in the field of Islamic Economic Law that examines the following fields: Accounting Sharia Accounting Economics ...