Version 1
: Received: 8 October 2020 / Approved: 9 October 2020 / Online: 9 October 2020 (09:04:18 CEST)
How to cite:
Tarno, T.; Maruddani, D.A.I.; Rahmawati, R.; Hoyyi, A.; Trimono, T.; Munawar, M. ARIMA-GARCH Model and ARIMA-GARCH Ensemble for Value-at-Risk Prediction on Stocks Portfolio. Preprints2020, 2020100191. https://doi.org/10.20944/preprints202010.0191.v1
Tarno, T.; Maruddani, D.A.I.; Rahmawati, R.; Hoyyi, A.; Trimono, T.; Munawar, M. ARIMA-GARCH Model and ARIMA-GARCH Ensemble for Value-at-Risk Prediction on Stocks Portfolio. Preprints 2020, 2020100191. https://doi.org/10.20944/preprints202010.0191.v1
Tarno, T.; Maruddani, D.A.I.; Rahmawati, R.; Hoyyi, A.; Trimono, T.; Munawar, M. ARIMA-GARCH Model and ARIMA-GARCH Ensemble for Value-at-Risk Prediction on Stocks Portfolio. Preprints2020, 2020100191. https://doi.org/10.20944/preprints202010.0191.v1
APA Style
Tarno, T., Maruddani, D.A.I., Rahmawati, R., Hoyyi, A., Trimono, T., & Munawar, M. (2020). ARIMA-GARCH Model and ARIMA-GARCH Ensemble for Value-at-Risk Prediction on Stocks Portfolio. Preprints. https://doi.org/10.20944/preprints202010.0191.v1
Chicago/Turabian Style
Tarno, T., Trimono Trimono and Munawar Munawar. 2020 "ARIMA-GARCH Model and ARIMA-GARCH Ensemble for Value-at-Risk Prediction on Stocks Portfolio" Preprints. https://doi.org/10.20944/preprints202010.0191.v1
Abstract
Stocks portfolio is a form of investment that can be used to minimize the risk of loss. In a stock portfolio, the value at risk (VaR) can be predicted through the portfolio return. If portfolio return variance is heteroscedastic risk prediction can be done by using VaR with ARIMA-GARCH or Ensemble ARIMA-GARCH model approach. Furthermore, the accuracy of VaR is tested through backtesting test. In this study, the portfolio formed from Astra Agro Lestari Ltd (AALI) and Indofood Ltd (INDF) stocks from 10/02/2012 to 10/01/2019. The results showed that the best model is ARIMA(0,0,[3])-GARCH(1,2) with AIC of -5.604 and MSE 1.874e-07.At confidence level of 95% and 1 day holding period, the VaR of the ARIMA(0,0,[3])-GARCH(1,2) was -0.3464. Based on the backtesting test, it is proven to be very accurate to predict the value of loss risk because the value of the violation ratio (VR) is equal to 0.
Keywords
stocks portfolio; loss risk; heteroscedastic; VaR; backtesting
Subject
Computer Science and Mathematics, Algebra and Number Theory
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
