Authors:

DERY MAULANA, KOMANG DHARMAWAN, I GUSTI AYU MADE SRINADI

Abstract:

“Risk measure using Conditional Value at Risk can be calculate if values that exceeds the p-quantile is known in VaR. The models used to accommodate characteristics of the stock portfolio in this research are EVT-GARCH-D-vine copula and EVT-GJR-D-vine copula so the performance of these two models can be compared. A comparison of the performance of the EVT-GARCH-D-vine copula and EVT-GJR-D-vine copula models can be seen from the Kupiec test backtesting process. Exceeded value Kupiec Test on CVaR 99% is 2, CVaR 95% is 6, and CVaR 90% is 13 for AR(1)-GARCH-t(1,1)-GPD and CVaR 99% is 3, CVaR 95% is 7, and CVaR 90% is 13 for AR(1)-GJR-t(1,1)-GPD. The Kupiec test describes the estimated risk value of CVaR running well with the value of the entire model above the significant level of ? = 0.05 so as to provide a conclusion of risk estimates considered feasible.”

Keywords

Keyword Not Available

Downloads:

Download data is not yet available.

References

References Not Available

PDF:

https://jurnal.harianregional.com/mtk/full-87236

Published

2022-05-31

How To Cite

MAULANA, DERY; DHARMAWAN, KOMANG; SRINADI, I GUSTI AYU MADE. ESTIMASI CVAR PADA PORTOFOLIO SAHAM MENGGUNAKAN METODE GJR-EVT DENGAN PENDEKATAN D-VINE COPULA.E-Jurnal Matematika, [S.l.], v. 11, n. 2, p. 127-139, may 2022. ISSN 2303-1751. Available at: https://jurnal.harianregional.com/mtk/id-87236. Date accessed: 08 Jul. 2024. doi:https://doi.org/10.24843/MTK.2022.v11.i02.p372.

Citation Format

ABNT, APA, BibTeX, CBE, EndNote - EndNote format (Macintosh & Windows), MLA, ProCite - RIS format (Macintosh & Windows), RefWorks, Reference Manager - RIS format (Windows only), Turabian

Issue

Vol 11 No 2 (2022)

Section

Articles

Creative Commons License This work is licensed under a Creative Commons Attribution 4.0 International License