PERHITUNGAN VALUE AT RISK DENGAN PENDEKATAN VARIANCE COVARIANCE

Berry, Yunike (2017) PERHITUNGAN VALUE AT RISK DENGAN PENDEKATAN VARIANCE COVARIANCE. Jurnal Riset Bisnis dan Manajemen, 7 (2). pp. 146-158. ISSN 2338-929x (Unpublished)

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Abstract

This study explain the calculation of market risk of VaR (in this case is the risk of equity.
The data used in this study are the dominating shares in the telecommunication sector of
Indonesia Stock Exchange. Research is obtained from the reference source and use secondary
data. The observation period is done during three years with daily period. The research
methodology used to measure the biggest potential risk (loss) caused by investing in
telecommunication stock index is Value at Risk (VaR) approach using Variance-Covariance
Method Based on the result of research, ISAT has a higher level of volatility compared to others,
thus indicating a higher market risk

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