Estimasi volatilitas dan value at risk dengan generalized pareto distribution = Volatility and value at risk estimation using generalized pareto distribution

Wijaya, Yunita (2015) Estimasi volatilitas dan value at risk dengan generalized pareto distribution = Volatility and value at risk estimation using generalized pareto distribution. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Penelitian dalam Tugas Akhir ini bertujuan untuk menghitung risiko dengan menggunakan value at risk (VaR) mengikuti Extreme Value Theory (EVT) - Generalized Pareto Distribution (GPD), yang kemudian akan dibandingkan dengan menggunakan metode Variance Covariance mengikuti Distribusi Normal. Data yang digunakan dalam Tugas Akhir ini adalah data harga penutupan saham perusahaan indeks LQ45 mulai Januari 2003 hingga Desember 2013. Hasil penelitian dalam Tugas Akhir ini menunjukkan bahwa model yang cocok untuk digunakan dalam perhitungan VaR adalah metode Extreme Value Theory-Generalized Pareto Distribution dibandingkan dengan metode Variance Covariance. / The research in this final project aims to calculate risk by using value at risk following Generalized Pareto Distribution, which will be compared using Variance Covariance Method following Normal Distribution. The data used in this final project are daily closing stock price of index LQ45 period January 2003 - December 2013. Based on the result of this final project showed that the Extreme Value Theory - Generalized Pareto Distribution is valid to calculate VaR better than the Variance Covariance Method.

Item Type:	Thesis (Bachelor)
Creators:	Creators NIM Email Wijaya, Yunita NIM11220110001 UNSPECIFIED
Contributors:	Contribution Contributors NIDN/NIDK Email Thesis advisor Saputra, Kie Van Ivanky NIDN 0401038203 kie.saputra@uph.edu Thesis advisor Gracianti, Giovani NIDN9990554112 giovani.gracianti@uph.edu
Additional Information:	SK 112-11 WIJ e
Uncontrolled Keywords:	value at risk; extreme value theory; metode peak over threshold
Subjects:	Q Science > QA Mathematics
Divisions:	University Subject > Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Depositing User:	Mrs Veronica Fitri Astuti
Date Deposited:	12 May 2021 14:18
Last Modified:	01 Nov 2023 09:59
URI:	http://repository.uph.edu/id/eprint/18358

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