几何布朗运动与风险价值分析Bumi Serpong Damai股份有限公司股价

Internasional Journal of Data Science, Engineering, and Anaylitics Pub Date : 2021-07-18 DOI:10.33005/ijdasea.v1i1.3

Trimono Trimono, Di Asih I Maruddani, Prisma Hardi Aji Riyantoko, I. G. S. Mas Diyasa

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引用次数: 0

摘要

投资是对印尼人民具有持久吸引力的活动之一。股票是资本市场上交易最广泛的金融资产之一。股票价格经常面临预测变化的挑战，因此它们可以随时上涨或下跌。一种可以用来预测股价的方法是GBM。然后，可以使用VaR风险度量来度量风险。结果表明，GBM模型对BSDE股价的预测是准确的。JK, MAPE值为5.17%。利用VaR- hs和VaR CFE，在95%置信水平下，预测06/07/21期间的损失风险为-0.0597和-0.0623

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Geometric Brownian Motion and Value at Risk For Analysis Stock Price Of Bumi Serpong Damai Ltd

Investment is one of the activities that last actually attractive to the people of Indonesia. One of the most widely traded financial assets in the capital market is stocks. Stock prices frequently experience challenges to predict changes, so they can increase or decrease at any time. One method that can be applied to predict stock prices is GBM. Then, the risk can be measured using the VaR risk measure. The GBM model is determined to be accurate in predicting the stock price of BSDE.JK, with a MAPE value of 5.17%. By using VaR-HS and VaR CFE, the prediction of risk of loss at the 95% confidence level for the period 06/07/21 is -0.0597 and -0.0623

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Internasional Journal of Data Science, Engineering, and Anaylitics

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