TY - JOUR
T1 - Value-at-Risk analysis using ARMAX GARCHX approach for estimating risk of banking subsector stock return's
AU - Ratih, Iis Dewi
AU - Ulama, Brodjol Sutijo Supri
AU - Prastuti, Mike
N1 - Publisher Copyright:
© 2018 Published under licence by IOP Publishing Ltd.
PY - 2018/3/22
Y1 - 2018/3/22
N2 - Value at Risk (VaR) is one of the statistical methods used to measure market risk by estimating the worst losses in a given time period and level of confidence. The accuracy of this measuring tool is very important in determining the amount of capital that must be provided by the company to cope with possible losses. Because there is a greater losses to be faced with a certain degree of probability by the greater risk. Based on this, VaR calculation analysis is of particular concern to researchers and practitioners of the stock market to be developed, thus getting more accurate measurement estimates. In this research, risk analysis of stocks in four banking sub-sector, Bank Rakyat Indonesia, Bank Mandiri, Bank Central Asia and Bank Negara Indonesia will be done. Stock returns are expected to be influenced by exogenous variables, namely ICI and exchange rate. Therefore, in this research, stock risk estimation are done by using VaR ARMAX-GARCHX method. Calculating the VaR value with the ARMAX-GARCHX approach using window 500 gives more accurate results. Overall, Bank Central Asia is the only bank had the estimated maximum loss in the 5% quantile.
AB - Value at Risk (VaR) is one of the statistical methods used to measure market risk by estimating the worst losses in a given time period and level of confidence. The accuracy of this measuring tool is very important in determining the amount of capital that must be provided by the company to cope with possible losses. Because there is a greater losses to be faced with a certain degree of probability by the greater risk. Based on this, VaR calculation analysis is of particular concern to researchers and practitioners of the stock market to be developed, thus getting more accurate measurement estimates. In this research, risk analysis of stocks in four banking sub-sector, Bank Rakyat Indonesia, Bank Mandiri, Bank Central Asia and Bank Negara Indonesia will be done. Stock returns are expected to be influenced by exogenous variables, namely ICI and exchange rate. Therefore, in this research, stock risk estimation are done by using VaR ARMAX-GARCHX method. Calculating the VaR value with the ARMAX-GARCHX approach using window 500 gives more accurate results. Overall, Bank Central Asia is the only bank had the estimated maximum loss in the 5% quantile.
UR - http://www.scopus.com/inward/record.url?scp=85045751104&partnerID=8YFLogxK
U2 - 10.1088/1742-6596/974/1/012029
DO - 10.1088/1742-6596/974/1/012029
M3 - Conference article
AN - SCOPUS:85045751104
SN - 1742-6588
VL - 974
JO - Journal of Physics: Conference Series
JF - Journal of Physics: Conference Series
IS - 1
M1 - 012029
T2 - 3rd International Conference on Mathematics: Pure, Applied and Computation, ICoMPAC 2017
Y2 - 1 November 2017 through 1 November 2017
ER -