Analisis Efektivitas Derivatif Futures Indeks LQ45 dalam Lindung Nilai (Hedging) Risiko Investasi dengan Metode OLS dan DCC-GARCH - Submit Jurnal/Seminar

Syavirah, Auliah Juliana (2025) Analisis Efektivitas Derivatif Futures Indeks LQ45 dalam Lindung Nilai (Hedging) Risiko Investasi dengan Metode OLS dan DCC-GARCH - Submit Jurnal/Seminar. Bachelor thesis, Institut Teknologi Kalimantan.

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Abstract

Tingginya volatilitas indeks LQ45 di pasar modal Indonesia menimbulkan risiko signifikan bagi investor, sehingga strategi lindung nilai menjadi kebutuhan utama. Penelitian ini bertujuan untuk mengkaji efektivitas kontrak berjangka (futures) indeks LQ45 dalam mengurangi risiko investasi dengan membandingkan dua pendekatan estimasi hedge ratio, yaitu Ordinary Least Squares (OLS) dan Dynamic Conditional Correlation-GARCH (DCC-GARCH). Data berupa return harian indeks LQ45 dan kontrak futures periode 2021–2024 dianalisis dengan statistika awal untuk memenuhi asumsi dari model OLS dan DCC-GARCH. Hasil estimasi kedua model yang didapatkan akan di evaluasi untuk memastikan kebaikan model. Selanjutnya, evaluasi efektivitas dilakukan dengan membandingkan varians portofolio sebelum dan sesudah hedging serta uji statistik F dan t. Hasil analisis menunjukkan bahwa kontrak futures indeks LQ45 efektif digunakan sebagai instrumen lindung nilai. Model DCC-GARCH menghasilkan hedge ratio yang lebih adaptif terhadap fluktuasi pasar dibandingkan OLS, terbukti dari efektivitas yang lebih tinggi dalam menurunkan varians portofolio dan peningkatan return kumulatif. Selain itu, DCC-GARCH memenuhi seluruh uji diagnostik dan asumsi statistik, menjadikannya metode yang lebih unggul. Penelitian ini memberikan kontribusi penting terhadap literatur derivatif domestik yang masih terbatas dan dapat menjadi referensi bagi investor serta regulator dalam mengembangkan instrumen lindung nilai berbasis indeks di Indonesia.

Item Type:	Thesis (Bachelor)
Subjects:	Q Science > Q Science (General)
Divisions:	Jurusan Matematika dan Teknologi Informasi > Ilmu Aktuaria
Depositing User:	Auliah Juliana Syavirah
Date Deposited:	04 Jul 2025 06:13
Last Modified:	04 Jul 2025 06:13
URI:	http://repository.itk.ac.id/id/eprint/22698

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