Penerapan Model Geometric Brownian Motion Dalam Memprediksi Harga Saham Serta Mengukur Nilai Value At Risk Dengan Metode Simulasi Monte Carlo Dan Variance-Covariance

Retno, Salsabila Atika (2025) Penerapan Model Geometric Brownian Motion Dalam Memprediksi Harga Saham Serta Mengukur Nilai Value At Risk Dengan Metode Simulasi Monte Carlo Dan Variance-Covariance. Bachelor thesis, Institut Teknologi Kalimantan.

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Abstract

Peningkatan jumlah investor di pasar modal Indonesia menunjukkan tingginya minat terhadap investasi, salah satunya pada saham blue chip seperti PT Bank Rakyat Indonesia Tbk (BBRI) yang memiliki kapitalisasi pasar besar dan tingkat perdagangan yang tinggi. Meskipun saham blue chip dikenal stabil, pergerakan harga saham tetap menimbulkan risiko. Oleh karena itu, prediksi harga saham dan pengukuran risiko menjadi penting bagi investor. Penelitian ini bertujuan untuk memprediksi harga saham BBRI menggunakan model Geometric Brownian Motion (GBM) dan mengukur risiko investasinya menggunakan metode Value at Risk (VaR) melalui pendekatan Simulasi Monte Carlo dan Variance-Covariance. Pada penelitian ini data yang digunakan adalah harga penutupan harian saham BBRI periode November 2023 hingga Desember 2024. Penelitian ini memprediksi harga saham BBRI menggunakan metode GBM dengan iterasi 50, 100, dan 500, menghasilkan akurasi MAPE kategori “Tinggi”, dengan MAPE 3,34%, 2,60% dan 2,35%. Risiko kerugian dihitung menggunakan Value at Risk (VaR) dengan tingkat kepercayaan 95% dengan metode Variance-Covariance dan simulasi Monte Carlo berturut-turut yaitu sebesar 2.93% dan 2.83% dari total investasi dana untuk periode waktu satu hari kedepan. Hasil pengujian menunjukkan kedua metode VaR akurat dan dapat dipercaya untuk mengukur risiko saham BBRI, namun metode Variance-Covariance memberikan hasil yang lebih akurat.

Item Type: Thesis (Bachelor)
Subjects: Q Science > Q Science (General)
Q Science > QA Mathematics
Divisions: Jurusan Matematika dan Teknologi Informasi > Ilmu Aktuaria
Depositing User: Salsabila Atika Retno
Date Deposited: 10 Jul 2025 02:05
Last Modified: 10 Jul 2025 02:05
URI: http://repository.itk.ac.id/id/eprint/23581

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