1 Citation (Scopus)

Abstract

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.

Original languageEnglish
Article number012029
JournalJournal of Physics: Conference Series
Volume974
Issue number1
DOIs
Publication statusPublished - 22 Mar 2018
Event3rd International Conference on Mathematics: Pure, Applied and Computation, ICoMPAC 2017 - Surabaya, Indonesia
Duration: 1 Nov 20171 Nov 2017

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