ESTIMASI VALUE AT RISK (VaR) UNTUK MODEL EXPONENTIAL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (EGARCH) DENGAN DISTRIBUSI STUDENT-T
| Main Authors: | , BONDRA UJI PRATAMA, , Dr. Abdurakhman, S.Si., M.Si. |
|---|---|
| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2014
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| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/133421/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=74084 |
| ctrlnum |
133421 |
|---|---|
| fullrecord |
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<dc schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd"><relation>https://repository.ugm.ac.id/133421/</relation><title>ESTIMASI VALUE AT RISK (VaR) UNTUK MODEL EXPONENTIAL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (EGARCH) DENGAN DISTRIBUSI STUDENT-T</title><creator>, BONDRA UJI PRATAMA</creator><creator>, Dr. Abdurakhman, S.Si., M.Si.</creator><subject>ETD</subject><description>Quantitative risk measurement can be calculated using Value at Risk (VaR) method. Usually, we use VaR with Student-t distribution to estimate the maximum potential loss of leptokurtic data. This VaR Student-t is constant. In this paper, we employ VaR Student-t with EGARCH Student's-t model to estimate the maximum potential loss of heteroscedasticity and leverage effect data in order to obtain more accurate estimation than VaR Student-t. Backtesting methods used to measure the accuracy of the VaR are the Kupiec test. The Kupiec test stated that VaR Student-t with EGARCH was suitable for estimating the maximum potential loss of the PT WIKA�s stock data in December 3rd 2012 to January 31th 2014. This was shown by the results of the next 20 periods VaR forecasts that was capable for covering some forthcoming losses.</description><publisher>[Yogyakarta] : Universitas Gadjah Mada</publisher><date>2014</date><type>Thesis:Thesis</type><type>PeerReview:NonPeerReviewed</type><identifier> , BONDRA UJI PRATAMA and , Dr. Abdurakhman, S.Si., M.Si. (2014) ESTIMASI VALUE AT RISK (VaR) UNTUK MODEL EXPONENTIAL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (EGARCH) DENGAN DISTRIBUSI STUDENT-T. UNSPECIFIED thesis, UNSPECIFIED. </identifier><relation>http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=74084</relation><recordID>133421</recordID></dc>
|
| format |
Thesis:Thesis Thesis PeerReview:NonPeerReviewed PeerReview |
| author |
, BONDRA UJI PRATAMA , Dr. Abdurakhman, S.Si., M.Si. |
| title |
ESTIMASI VALUE AT RISK (VaR) UNTUK MODEL EXPONENTIAL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (EGARCH) DENGAN DISTRIBUSI STUDENT-T |
| publisher |
[Yogyakarta] : Universitas Gadjah Mada |
| publishDate |
2014 |
| topic |
ETD |
| url |
https://repository.ugm.ac.id/133421/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=74084 |
| contents |
Quantitative risk measurement can be calculated using Value at Risk (VaR) method. Usually, we use VaR with Student-t distribution to estimate the maximum potential loss of leptokurtic data. This VaR Student-t is constant. In this paper, we employ VaR Student-t with EGARCH Student's-t model to estimate the maximum potential loss of heteroscedasticity and leverage effect data in order to obtain more accurate estimation than VaR Student-t. Backtesting methods used to measure the accuracy of the VaR are the Kupiec test. The Kupiec test stated that VaR Student-t with EGARCH was suitable for estimating the maximum potential loss of the PT WIKA�s stock data in December 3rd 2012 to January 31th 2014. This was shown by the results of the next 20 periods VaR forecasts that was capable for covering some forthcoming losses. |
| id |
IOS2744.133421 |
| institution |
Universitas Gadjah Mada |
| institution_id |
19 |
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library:university library |
| library |
Perpustakaan Pusat Universitas Gadjah Mada |
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488 |
| collection |
UGM Repository |
| repository_id |
2744 |
| subject_area |
Karya Umum |
| city |
SLEMAN |
| province |
DAERAH ISTIMEWA YOGYAKARTA |
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IOS2744 |
| first_indexed |
2016-09-14T18:34:45Z |
| last_indexed |
2016-09-22T21:48:53Z |
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dc |
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1765816671439683584 |
| score |
17.538404 |