Estimation of Average Value at Risk (AVaR) on Sharia Joint-Stock Index Using Glosten, Jaggnathan and Runkle (GJR) model

Abstract

The average value at risk (AVaR) is a measuring tool used to assess the worst loss experienced by an investor on a portfolio investment at a certain time. Furthermore. AVaR’s level of confidence needs to fulfill all the axioms regarding the nature of risk for risk-varse investors. This is because the possibility of an asymmetric volatility response can be overcomed by estimating the risk of loss using the Glosten. Jagganathan. and Runkle (GJR) models. In this study. the stock price data for the period January 1-28 December 2018 were used for the response. Therefore. this study aims to determine the risk estimation of stock price loss using the Average Value at Risk with the Glosten Jagganathan and Runkle models. The results showed that the stock price obtained from the AVaR estimation with a 95% confidence level of 0.1627% may be experienced one day ahead.