Stock is one of investment instrument that has high risk with possible high return or loss. Quantifying the risk associated with stock return is important work for financial institution to optimize their portfolios. To do that analysis, Value-at-Risk method becomes very popular and frequently applied recently. This work applies Value-at-Risk modeling using ARMAX-GARCHX approach that considers exogenous variables having significant effect to the volatility of return. Moreover, in this research the risk is estimated based on observations spanning in moving windows. There are three kinds of windows size, i.e. 250, 375, and 500 transaction days. Applying the proposed method to stock return of top four (in market share) companies in construction and building subsector at Indonesian stock exchange (IDX), at the period of tax amnesty, the empirical results show that the Value-at-Risk estimation using windows size 500 days perform better than ones obtained from the shorter windows.

Original languageEnglish
Article number012225
JournalJournal of Physics: Conference Series
Issue number1
Publication statusPublished - 14 Jun 2018
Event2nd International Conference on Statistics, Mathematics, Teaching, and Research 2017, ICSMTR 2017 - Makassar, Indonesia
Duration: 9 Oct 201710 Oct 2017


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