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Operations Research International Conference Series
Article . 2021 . Peer-reviewed
License: CC BY NC
Data sources: Crossref
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Determination of Value-at-Risk in UNVR Stocks Using ARIMA-GJR-GA RCH Model

Authors: Rizki Apriva Hidayana; Herlina Napitupulu; Sukono Sukono;

Determination of Value-at-Risk in UNVR Stocks Using ARIMA-GJR-GA RCH Model

Abstract

Stocks are investment instruments that are in great demand by investors as a basis for storing finances. The most important thing in investing is the return and risk of loss obtained from investing in stocks. Risk measurement is carried out using Value-at-Risk and Conditional Value-at-Risk. The stock movements used are historical data and in the form of time series, so that a model can be formed to predict the next movement of stocks and risk measurements can be carried out. The purpose of this study is to determine the value of risk obtained by investors using time series analysis. The data used in this study is the daily closing price of stocks for 3 years. The stages of the analysis carried out to predict stock movements are to determine the ARIMA model for the mean model and the GJR-GARCH model for the volatility model. The mean value and variance are used to calculate the risk value of VaR. Based on the results of the Value-at-Risk calculation obtained, UNVR shares have a risk value of 0.01217. This means that if an investment is made in UNVR shares of IDR 100,000,000.00, the estimated maximum loss of potential loss that occurs is estimated to reach IDR 1,217,000.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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