ARMA-GARCH model for value-at-risk (VaR) prediction on stocks of PT. Astra Agro Lestari.Tbk

Tarno -, Di Asih I Maruddani, Rita Rahmawati, Abdul Hoyyi, Trimono -, Munawar -

Abstract


PT. Astra Agro Lestari Tbk (AALI) is one of the plantation companies with the largest market capitalization in Indonesia. AALI stocks traded on the stock exchange have fairly fluctuating value and volatility of stock returns are not constant (heteroskedastic). One of the risk measurements that can be used to predict the risk of stock investing is Value-at-Risk (VaR). In conditions that are heteroskedastic stock returns, risk prediction can be done with the VaR ARCH/GARCH and VaR ARCH/GARCH combination model. Empirical studies were carried out on AALI stocks for the period of August 2, 2012 until October 1, 2019. The results obtained showed that the best model was ARIMA (0,0,1)-GARCH (1,2) with AIC value of -4.9793 and MSE of 0.00005. At the 95% trust level, the VaR ARCH/ARCH value was -0.3464.


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Published: 2021-03-16

How to Cite this Article:

Tarno -, Di Asih I Maruddani, Rita Rahmawati, Abdul Hoyyi, Trimono -, Munawar -, ARMA-GARCH model for value-at-risk (VaR) prediction on stocks of PT. Astra Agro Lestari.Tbk, J. Math. Comput. Sci., 11 (2021), 2136-2152

Copyright © 2021 Tarno -, Di Asih I Maruddani, Rita Rahmawati, Abdul Hoyyi, Trimono -, Munawar -. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

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