Risk evaluation on leading companies in property and real estate subsector at IDX: A Value-at-Risk with ARMAX-GARCHX approach and duration test

Dedy Dwi Prastyo, Dwi Handayani, Soo Fen Fam, Santi Puteri Rahayu, Suhartono, Ni Luh Putu Satyaning Pradnya Paramita

Research output: Contribution to journalConference articlepeer-review

5 Citations (Scopus)

Abstract

Risk assessment and evaluation becomes essential for financial institution to measure the potential risk of their counterparties. In middle of 2016 until first quarter of 2017, there is national program from Indonesian government so-called Tax Amnesty. One subsector that has potential to receive positive impact from the Tax Amnesty program is property and real estate. This work evaluates the risk of top five companies in term of capital share listed in Indonesia stock exchange (IDX). To do this, the Value-at-Risk (VaR) with ARMAX-GARCHX approach is employed. The ARMAX-GARCHX simultaneously models the adaptive mean and variance of stock return of each company considering exogenous variables, i.e. IDR/USD exchange rate and Jakarta Composite Index (JCI). The risk is evaluated in scheme of time moving window. The risk evaluation using 5% quantile with window size 500 transaction days perform better result compare to other scenarios. In addition, duration test is used to test the dependency between shortfalls. It informs that series of shortfall are independent.

Original languageEnglish
Article number012094
JournalJournal of Physics: Conference Series
Volume979
Issue number1
DOIs
Publication statusPublished - 13 Mar 2018
Event2nd International Conference on Science, ICOS 2017 - Makassar, Indonesia
Duration: 2 Nov 20173 Nov 2017

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