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RISK ASSESSMENT OF STOCKS PORTFOLIO THROUGH ENSEMBLE ARMA-GARCH AND VALUE AT RISK (CASE STUDY: INDF.JK AND ICBP.JK STOCK PRICE)

*Tarno Tarno scopus  -  Department of Statistics, Diponegoro University, Indonesia
Trimono Trimono  -  Data Science Study Program, UPN Veteran Jawa Timur, Indonesia
Di Asih I Maruddani  -  Department of Statistics, Diponegoro University, Indonesia
Yuciana Wilandari  -  Department of Statistics, Diponegoro University, Indonesia
Rianti Siswi Utami  -  School of Mathematics and Statistics, The University of New South Wales Sidney, Australia
Open Access Copyright (c) 2021 MEDIA STATISTIKA under http://creativecommons.org/licenses/by-nc-sa/4.0.

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Abstract

Stocks portfolio is a form of investment that can be used to minimize the risk of loss. In a stock portfolio, the Value at Risk (VaR) can be predicted through the portfolio return. If portfolio return variance is heteroskedastic risk prediction can be done by using VaR with ARIMA-GARCH or Ensemble ARIMA-GARCH model approach. Furthermore, the accuracy of VaR is tested through Backtesting test. In this study, the portfolio is formed from PT Indofood CBP Sukses Makmur (ICBP.JK) and PT Indofood Sukses Makmur Tbk (INDF.JK) stocks from 01/01/2018 to 07/30/2021. The results showed that the best model is  Ensemble ARMA-GARCH with MSE 1.3231×10-6. At confidence level of 95% and 1 day holding period, the VaR of the Ensemble ARMA-GARCH was -0.0213. Based on the Backtesting test, it is proven to be very accurate to predict the value of loss risk because the value of the Violation Ratio (VR) is equal to 0.

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Keywords: stocks portfolio; loss risk; heteroskedastic; VaR, Backtesting
Funding: Faculty of Science and Mathematics, Universitas Diponegoro under contract 4861/UN7.5.8/PP/2019

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