ESTIMASI CVAR PADA PORTOFOLIO SAHAM MENGGUNAKAN METODE GJR-EVT DENGAN PENDEKATAN D-VINE COPULA
| Main Authors: | MAULANA, DERY, DHARMAWAN, KOMANG, SRINADI, I GUSTI AYU MADE |
|---|---|
| Format: | Article info application/pdf eJournal |
| Bahasa: | eng |
| Terbitan: |
Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University
, 2022
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| Online Access: |
https://ojs.unud.ac.id/index.php/mtk/article/view/87236 https://ojs.unud.ac.id/index.php/mtk/article/view/87236/44789 |
Daftar Isi:
- Risk measure using Conditional Value at Risk can be calculate if values that exceeds the p-quantile is known in VaR. The models used to accommodate characteristics of the stock portfolio in this research are EVT-GARCH-D-vine copula and EVT-GJR-D-vine copula so the performance of these two models can be compared. A comparison of the performance of the EVT-GARCH-D-vine copula and EVT-GJR-D-vine copula models can be seen from the Kupiec test backtesting process. Exceeded value Kupiec Test on CVaR 99% is 2, CVaR 95% is 6, and CVaR 90% is 13 for AR(1)-GARCH-t(1,1)-GPD and CVaR 99% is 3, CVaR 95% is 7, and CVaR 90% is 13 for AR(1)-GJR-t(1,1)-GPD. The Kupiec test describes the estimated risk value of CVaR running well with the value of the entire model above the significant level of ? = 0.05 so as to provide a conclusion of risk estimates considered feasible.