Authors :
Yendra Dharmadinata; Abitur Asianto
Volume/Issue :
Volume 5 - 2020, Issue 12 - December
Google Scholar :
http://bitly.ws/9nMw
Scribd :
https://bit.ly/3abmKsA
Abstract :
Book IV Book IV Banking Shares, consists of
six banks with the largest capitalization in Indonesia. The
volatility of banking stocks is estimated to have a strong
impact on the Indonesian economy. This study aims to
obtain the optimal model as a basis for calculating VaR
(Value at Risk), which is to measure the maximum risk of
each banking stock book. The research data is secondary
data in the form of monthly stock prices of Bank Mandiri
(BMRI), Bank BRI (BBRI), Bank BNI (BBNI), Bank BCA
(BBCA), Bank CIMB-Niaga (BNGA) and Bank Pan
Indonesia (PNBN). The research data ranges from June
2004 to September 2019, without including the dividend
factor. ARCH / GARCH model is used to estimate the VaR
value as the maximum loss over a certain period of time at
a certain confidence level. The probability test is used to
determine the level of stock performance. The results of
the study are useful as a basis for consideration in making
macroeconomic risk mitigation policies due to shocks that
occur in Book IV banking stocks. Also can be used as a
basis for consideration of investment decisions
Keywords :
Banking shares book IV, Value-at-Risk, ARCH/GARCH, Probability
Book IV Book IV Banking Shares, consists of
six banks with the largest capitalization in Indonesia. The
volatility of banking stocks is estimated to have a strong
impact on the Indonesian economy. This study aims to
obtain the optimal model as a basis for calculating VaR
(Value at Risk), which is to measure the maximum risk of
each banking stock book. The research data is secondary
data in the form of monthly stock prices of Bank Mandiri
(BMRI), Bank BRI (BBRI), Bank BNI (BBNI), Bank BCA
(BBCA), Bank CIMB-Niaga (BNGA) and Bank Pan
Indonesia (PNBN). The research data ranges from June
2004 to September 2019, without including the dividend
factor. ARCH / GARCH model is used to estimate the VaR
value as the maximum loss over a certain period of time at
a certain confidence level. The probability test is used to
determine the level of stock performance. The results of
the study are useful as a basis for consideration in making
macroeconomic risk mitigation policies due to shocks that
occur in Book IV banking stocks. Also can be used as a
basis for consideration of investment decisions
Keywords :
Banking shares book IV, Value-at-Risk, ARCH/GARCH, Probability
