Publication Date: 2020/12/15
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
DOI: No DOI Available
PDF: https://ijirst.demo4.arinfotech.co/assets/upload/files/IJISRT20DEC131.pdf
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