IJBEM : Indonesian Journal of Business Economics and Management
Vol. 1 No. 2 (2022): IJBEM Juni 2021

ESTIMASI NILAI RISIKO RETURN PORTOFOLIO SAHAM LQ-45 DAN JII DENGAN COPULA GAUSSIAN: Value at Risk, Copula, GARCH

Fatimah Zuhra (Unknown)

Article Info

Publish Date
06 Jun 2022

Abstract

The purpose of an investor in investing in a stock portfolio is to maximize return and minimize risk. The most commonly used risk measure is Value at Risk (VaR) which can be calculated using a copula. The best copula is the Gaussian copula that can calculate the risk value in the combined distribution between LQ-45 returns and JII returns, which have a volatility effect so that it is modeled with the AR (1)-GARCH (1,1) model. With a 95% confidence level, the Gaussian copula has the smallest VaR value with the largest return.

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Journal Info
IJBEM : Indonesian Journal of Business Economics and Management
Website

Abbrev

ijbem

Publisher

Institut Riset dan Publikasi Indonesia

Subject

Economics, Econometrics & Finance

Description

Indonesian Journal of Business Economics and Management (IJBEM) is a scientific journal published by the Institute of Research and Publication Indonesia (IRPI) in collaboration with several universities throughout Riau and Indonesia. IJBEM will be published 2 (two) times a year, in June and ...