ESTIMASI VALUE AT RISK SAHAM PT ALAMTRI RESOURCES INDONESIA TBK MENGGUNAKAN SIMULASI MONTE CARLO BERBASIS MODEL STOKASTIK GEOMETRIC BROWNIAN MOTION

Fitri, Mona Deslia (2026) ESTIMASI VALUE AT RISK SAHAM PT ALAMTRI RESOURCES INDONESIA TBK MENGGUNAKAN SIMULASI MONTE CARLO BERBASIS MODEL STOKASTIK GEOMETRIC BROWNIAN MOTION. Bachelor thesis, Institut Teknologi kalimantan.

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Abstract

Penelitian ini bertujuan untuk menganalisis pergerakan harga saham serta mengukur tingkat risiko investasi pada saham PT Alamtri Resources Indonesia Tbk (ADRO) menggunakan pendekatan Geometric Brownian Motion (GBM), simulasi Monte Carlo, dan metode Value at Risk (VaR). Data yang digunakan dalam penelitian ini berupa harga penutupan harian saham PT Alamtri Resources Indonesia Tbk (ADRO) selama periode 1 Desember 2024 hingga 31 Desember 2025 dari situs Investing.com. Data yang diperoleh dilakukan transformasi ke dalam bentuk log-return, dianalisis menggunakan statistika deskriptif dan uji normalitas. Proses data cleaning menggunakan metode Z-Score sehingga diperoleh 250 observasi yang digunakan dalam proses pemodelan. Hasil penelitian menunjukkan bahwa nilai parameter drift (????) sebesar -0,242 yang mengindikasikan kecenderungan penurunan return dan nilai parameter volatilitas (????) sebesar 45,34% yang menggambarkan tingginya tingkat ketidakpastian pergerakan harga saham. Simulasi Monte Carlo dengan 10.000 iterasi menghasilkan distribusi pergerakan harga saham yang semakin stabil dan menunjukkan konvergensi yang baik seiring bertambahnya jumlah iterasi. Hasil pengukuran risiko menggunakan metode Value at Risk (VaR) menunjukkan bahwa pada tingkat kepercayaan 95% diperoleh potensi kerugian maksimum sebesar Rp12.461.159, sedangkan pada tingkat kepercayaan 99% sebesar Rp17.258.178. Hasil ini menunjukkan bahwa PT Alamtri Resources Indonesia Tbk (ADRO) memiliki tingkat volatilitas yang relatif tinggi sehingga mengindikasikan adanya risiko investasi yang cukup besar. Nilai drift yang bernilai negatif menunjukkan adanya kecenderungan penurunan return selama periode pengamatan. Penerapan model Geometric Brownian Motion (GBM), simulasi Monte Carlo, dan Value at Risk (VaR) dapat menjadi alat bantu yang efektif dalam mengukur risiko dan mendukung pengambilan keputusan investasi di pasar modal

Item Type: Thesis (Bachelor)
Subjects: Q Science > QA Mathematics
Divisions: Jurusan Matematika dan Teknologi Informasi > Ilmu Aktuaria
Depositing User: Mona Mona Deslia Fitri
Date Deposited: 17 Jul 2026 02:35
Last Modified: 17 Jul 2026 02:35
URI: http://repository.itk.ac.id/id/eprint/27513

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