Pustaka Ilmiah Universitas Padjadjaran

Abstrak

Modified Value-at-risk Di Bawah CAPM Dengan Pendekatan Model ARMAX-GARCH (Modified Value-at-risk Under CAPM By ARMAX-GARCH Model Approach)

Dalam paper ini dibahas pengukuran risiko investasi berdasarkan Modified Value-at-Risk di bawah Capital Asset Pricing Model. Diasumsikan bahwa return indeks pasar memiliki ratarata tak-konstan serta terdapat efek long memory. Rata-rata dari return indeks pasar diestimasi menggunakan model-model ARFIMA. Diasumsikan pula bahwa premi risiko saham berkorelasi dengan premi risiko pasar, dan premi risiko saham beberapa waktu sebelumnya. Korelasi tersebut akan dianalisis menggunakan pendekatan model ARMAX-GARCH. Modified Value-at-Risk selanjutnya dirumuskan berdasarkan Capital asset Pricing Model dengan pendekatan model ARMAX-GARCH tersebut. Untuk mengukur kinerja Modified Value-at-Risk yang telah dirumuskan dilakukan dengan back testing. Back testing dilakukan berdasarkan metode Lopez II. Sebagai studi kasus, dianalisis beberapa data saham yang diperdagangkan dalam pasar modal di Indonesia.

In this paper discussed the measurement of investment risk based on the Modified Value-atRisk under the Capital Asset Pricing Model. It is assumed that the market index returns have non-constant mean and there are long-memory effect. The mean of the return of market index is estimated using ARFIMA models. It is assumed also that the risk premium shares correlated with the market risk premium, and risk premium share some time earlier. Such correlations will be analyzed using ARMAX-GARCH model approach. Modified Value-at-Risk subsequently formulated based on the Capital Asset Pricing Model with ARMAX-GARCH approach to model them. To measure the performance of Modified Value-at-Risk that has been formulated carried out with back testing. Back testing is conducted based on the method of Lopez II. As a case study, data were analyzed several stocks that are traded in capital markets in Indonesia.