T. Tarno, Trimono Trimono, D. A. I. Maruddani, Yuciana Wilandari, Rianti Siwi Utami
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引用次数: 2
摘要
股票投资组合是一种可以用来将损失风险降至最低的投资形式。在股票投资组合中，风险价值（VaR）可以通过投资组合的回报来预测。如果投资组合收益方差是异方差的，则可以通过将VaR与ARIMA-GARCH或集成ARIMA-GRCH模型方法相结合来进行风险预测。此外，通过回溯检验检验了VaR的准确性。在本研究中，投资组合由PT Indofood CBP Sukses Makmur（ICBP.JK）和PT Indofeed Sukses Macrmur Tbk（INDF.JK）股票组成，时间为2018年1月1日至2021年7月30日。结果表明，最佳模型是集合ARMA-GARCH，MSE为1.3231×10-6。在95%的置信水平和1天的持有期内，集合ARMA-GARCH的VaR为-0.0213。基于回溯测试，由于违约率（VR）的值等于0，因此预测损失风险的值被证明是非常准确的。
RISK ASSESSMENT OF STOCKS PORTFOLIO THROUGH ENSEMBLE ARMA-GARCH AND VALUE AT RISK (CASE STUDY: INDF.JK AND ICBP.JK STOCK PRICE)
Stocks portfolio is a form of investment that can be used to minimize the risk of loss. In a stock portfolio, the Value at Risk (VaR) can be predicted through the portfolio return. If portfolio return variance is heteroskedastic risk prediction can be done by using VaR with ARIMA-GARCH or Ensemble ARIMA-GARCH model approach. Furthermore, the accuracy of VaR is tested through Backtesting test. In this study, the portfolio is formed from PT Indofood CBP Sukses Makmur (ICBP.JK) and PT Indofood Sukses Makmur Tbk (INDF.JK) stocks from 01/01/2018 to 07/30/2021. The results showed that the best model is Ensemble ARMA-GARCH with MSE 1.3231×10-6. At confidence level of 95% and 1 day holding period, the VaR of the Ensemble ARMA-GARCH was -0.0213. Based on the Backtesting test, it is proven to be very accurate to predict the value of loss risk because the value of the Violation Ratio (VR) is equal to 0.
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