ANALISIS VALUE AT RISK DENGAN MODEL PENDEKATAN EXPONENTIALLY WEIGHTED MOVING AVERAGE (EWMA) PADA SAHAM YANG TERDAFTAR DALAM JAKARTA ISLAMIC INDEX PERIODE 2016-2017

Abstract

ABSTRACT : The purpose of this research to analyze Value at Risk with Exponentially Weighted Moving Average (EWMA) approach model on stocks listed in Jakarta Islam Index. This research is used quantitative method with time series, and secondary data that was taken from Indonesia Stock Exchange. Technique sampling of this research is used purposive sampling method with daily data and research period 2016-2017. Technique of data analysis in this research is used analysis Value at Risk with Exponentially Weighted Moving Average (EWMA) approach model. The result of this research showed that stock return data have have the same characteristics that is stationary, abnormal distribution, and heteroskedastic. The result of VaR calculation with EWMA showed that the result of VaR calculation with EWMA shows that the greater value of exposure, the greater Value at Risk will be generated. In addition, the higher volatility of return, the higher risk will be generated. While the result of backtesting test and kuepic test to test the accuracy of the EWMA model in VaR calculation showed that there are 8 valid stocks and 2 invalid stocks, so it can be concluded that the EWMA model is valid enough to do the calculation of Value at Risk.