MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG

MODEL NON LINIER GARCH (NGARCH) UNTUK MENGESTIMASI NILAI VALUE at RISK (VaR) PADA IHSG

<p><em>In investment, risk measurement is important. One of risk measure is Value at Risk (VaR). There are many methods that can be used to estimate risk based on VaR framework. One of them Non Linier GARCH (NGARCH) model. In this research, determination of VaR used NGARCH model. NGARCH...

Full description

Bibliographic Details
Main Authors: I KOMANG TRY BAYU MAHENDRA, KOMANG DHARMAWAN, NI KETUT TARI TASTRAWATI
Format: Article
Language:English
Published: Universitas Udayana 2015-06-01
Series:E-Jurnal Matematika
Subjects:
GARCH model
NGARCH model
Value at Risk
Online Access:http://ojs.unud.ac.id/index.php/mtk/article/view/13549
Description
Summary:<p><em>In investment, risk measurement is important. One of risk measure is Value at Risk (VaR). There are many methods that can be used to estimate risk based on VaR framework. One of them Non Linier GARCH (NGARCH) model. In this research, determination of VaR used NGARCH model. NGARCH model allowed for asymetric behaviour in the volatility such that “good news” or positive return and “bad news” or negative return. Based on calculations of VaR, the higher of the confidence level and the longer the investment period, the risk was greater. Determination of VaR using NGARCH model was less than GARCH model. </em></p>
ISSN:2303-1751

Similar Items