Muttaqin, Muhamad (2026) PEMODELAN VOLATILITAS ARMA-GARCH DAN ESTIMASI RESIKO (VaR) SAHAM ADRO 2022-2026. Bachelor thesis, Institut Teknologi Kalimantan.
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Abstract
Penelitian ini bertujuan untuk memodelkan volatilitas dan mengestimasi risiko investasi pada saham PT Adaro Energy Indonesia Tbk (ADRO) menggunakan pendekatan Autoregressive Moving Average - Generalized Autoregressive Conditional Heteroskedasticity (ARMA-GARCH). Mengingat data return saham seringkali memiliki karakteristik ekor tebal (fat-tails) dan kurtosis yang tinggi, penelitian ini menerapkan asumsi distribusi Student-t untuk meningkatkan akurasi estimasi. Data yang digunakan adalah harga penutupan harian saham ADRO. Tahapan analisis meliputi uji stasioneritas, identifikasi model ARMA, uji efek ARCH, hingga estimasi parameter model GARCH. Hasil penelitian menunjukan bahwa model terbaik untuk memprediksi volatilitas adalah ARMA(2,2)-GARCH(1,1) dengan distribusi Student-t. Evaluasi model menghasilkan nilai MASE untuk eror prediksi mean sebesar 0.7015622 dan MAE untuk eror prediksi varians sebesar 0,00096, yang mengindikasikan tingkat presisi peramalan yang cukup baik. Berdasarkan model tersebut, dilakukan estimasi risiko menggunakan Value at risk (VaR) dengan tingkat kepercayaan 95% untuk periode Maret 2026. Hasil proyeksi menunjukan potensi kerugian maksimum harian berada pada rentang -6,09% hingga -6,75%. Temuan ini diharapkan dapat menjadi panduan bagi investor dalam manajemen risiko portofolio pada sektor energi.
| Item Type: | Thesis (Bachelor) |
|---|---|
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance H Social Sciences > HJ Public Finance |
| Divisions: | Jurusan Matematika dan Teknologi Informasi > Ilmu Aktuaria |
| Depositing User: | Muhamad Aziz Malikul Mulki Muttaqin |
| Date Deposited: | 16 Jul 2026 06:03 |
| Last Modified: | 16 Jul 2026 06:03 |
| URI: | http://repository.itk.ac.id/id/eprint/26791 |
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