Authors :
Sri Nurul Mulyanah; Abitur Asianto
Volume/Issue :
Volume 5 - 2020, Issue 8 - August
Google Scholar :
http://bitly.ws/9nMw
Scribd :
https://bit.ly/32S6kQP
DOI :
10.38124/IJISRT20AUG429
Abstract :
The purpose from this research was to analyzed
those optimum model with Autoregressive Conditional
Heteroscsedasticity - Generalized Autoregressive
Conditional Heteroscedasticity (ARCH-GARCH) from
automotive sector shares and estimated the calculation
investment risk analysis the Value at Risk method
approach used 95% confidence level and holding period
which provides information on maximum potential loss
towards stock return value. Data From these research was
secondary data for time series in form of monthly Shares
return value from Astra Internasional, Astra Otoparts,
Goodyear Indonesia, Gajah Tunggal, Indomobil Sukses
Internasional, and Prima Alloy Steel Universal. Data was
obtained from www.idx.co.id, yahoo.finance.com and
other sources from December 2013 to August 2019.The
risk analysis tool for calculating Value at Risk with
Variance-covariance type. The Conclusion from these
research results Was the data was stationary which does
not had normal distribution and the longer the investment
takes, the higher the loss rate. This research was expected
to be useful for policy makers to consider decisions
regarding investment decisions in automotive sector or
related companies to develop Indonesian economy and this
research was expected to broaden knowledge, views and
information and could provide empirical evidence about
Value At risk analysis Through ARCH–GARCH model
Keywords :
Shares Return, Automotive Sector Shares, ARCHGARCH, VaR.
The purpose from this research was to analyzed
those optimum model with Autoregressive Conditional
Heteroscsedasticity - Generalized Autoregressive
Conditional Heteroscedasticity (ARCH-GARCH) from
automotive sector shares and estimated the calculation
investment risk analysis the Value at Risk method
approach used 95% confidence level and holding period
which provides information on maximum potential loss
towards stock return value. Data From these research was
secondary data for time series in form of monthly Shares
return value from Astra Internasional, Astra Otoparts,
Goodyear Indonesia, Gajah Tunggal, Indomobil Sukses
Internasional, and Prima Alloy Steel Universal. Data was
obtained from www.idx.co.id, yahoo.finance.com and
other sources from December 2013 to August 2019.The
risk analysis tool for calculating Value at Risk with
Variance-covariance type. The Conclusion from these
research results Was the data was stationary which does
not had normal distribution and the longer the investment
takes, the higher the loss rate. This research was expected
to be useful for policy makers to consider decisions
regarding investment decisions in automotive sector or
related companies to develop Indonesian economy and this
research was expected to broaden knowledge, views and
information and could provide empirical evidence about
Value At risk analysis Through ARCH–GARCH model
Keywords :
Shares Return, Automotive Sector Shares, ARCHGARCH, VaR.
