Pengukuran value at risk pada portofolio saham pertambangan menggunakan metode copula-GARCH = Measurement value at risk in the mining stock portfolio using copula-GARCH method

Aprilia, Monica Angelina (2023) Pengukuran value at risk pada portofolio saham pertambangan menggunakan metode copula-GARCH = Measurement value at risk in the mining stock portfolio using copula-GARCH method. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Pertambangan menjadi salah satu pemasukan negara yang cukup besar. Badan Pusat Statistika (BPS) mengatakan salah satu yang mendominasi terhadap Produksi Domestik Bruto (PDB) Indonesia ada pada sektor pertambangan. Hal ini menyebabkan banyaknya investor yang tertarik dalam melakukan investasi. Menanamkan modal pada suatu aset dalam jangka waktu tertentu yang diharapkan akan dapat keuntungan disebut investasi. Dalam dunia investasi telah banyak perhitungan risiko yang dilakukan, hal ini dilakukan agar investor mengetahui tingkat risiko lebih dulu sebelum berinvestasi. Value at Risk (VaR) metode mengukur nilai risiko pada rentang waktu dan tingkat kepercayaan (confidence interval) tertentu. Metode copula menjadi salah satu metode yang digunakan untuk menghitung VaR. Elliptical copula dan archimedean copula banyak digunakan dalam keuangan dan manajemen, karena mudah diimplementasikan. Penulis akan melakukan pengukuran VaR dengan metode copula-GARCH. Portofolio yang akan dipakai adalah saham pertambangan. Portofolio saham yang akan digunakan merupakan saham pertambangan, PT Aneka Tambang Tbk (ANTM), PT Vale Indonesia Tbk (INCO), dan PT Bukit Asam Tbk (PTBA), pada periode 1 Januari 2017 sampai dengan 31 Desember 2022. Berdasarkan tiga portofolio yang dibentuk, nilai VaR terbaik adalah portofolio ANTM dan INCO dengan bobot 60% dan 40%. Untuk satu hari kedepan akan didapatkan VaR sebesar -1,09% dengan tingkat kepercayaan 90%. / Mining is one of the country’s significant incomes. The Central Statistics Agency (BPS) said that one of the contributors to Indonesia’s Gross Domestic Product (GDP) was the mining sector. This causes many investors to be interested in investing. Investing capital in an asset for a certain period of time which is expected to make a profit is called investment. Most investors prefer to invest in stocks. In the investment world, many risk calculations have been carried out, this is done so that investors know the level of risk before investing. Value at Risk (VaR) method measures the risk value over a certain timeframe and confidence interval. The copula method is one of the methods used to calculate VaR. elliptical copula and copula archimedean are widely used in finance and management, because they are easy to implement. The writer will measure VaR using the copula-GARCH method. The portfolio that will be used is mining stocks. The stock portfolio that will be used is mining stock, PT Aneka Tambang Tbk (ANTM), PT Vale Indonesia Tbk (INCO), and PT Bukit Asam Tbk (PTBA), in the period January 1 2017 to December 31 2022. Based on the three portfolios formed , the best VaR values are the ANTM and INCO portfolios with weights of 60% and 40%. For the next day, a VaR of -1.09% will be obtained with a confidence level of 90%.

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