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Analisis Value at Risk pada Portofolio Saham PT. Adaro Energy Tbk dan PT. Bukit Asam Tbk Menggunakan Metode Copula Archimedean

ESTIMASI: Journal of Statistics and Its Application · Vol. 4 No. 2 (2023) · pp. 208–219

DOI
10.20956/ejsa.v4i2.25575
ISSN
2721-379X, 2721-3803
Published
2023-08-04
Publisher
Hasanuddin University
Language
en

Abstract

Value at Risk (VaR) is statistical method used in risk analysis in stock investments. Stock returns that are not normally distributed cause the risk calculation to be less precise, so to overcome this, the copula method can be used. Copula is a method based on dependencies between variables. The most commonly known copula family is the Archimedean copula which consists of the Clayton, Frank, and Gumbel copula. VaR is expected to be a feasible method to use, so it is important to perform backtesting. In this research, we use data on the daily closing price of PT. Adaro Energy Tbk and PT. Bukit Asam Tbk May 11, 2020 until June 15, 2022. The best copula based on the smallest Empirical copula value is Frank copula. VaR estimates for the 90%, 95%, and 99% confidence levels respectively were 2.688%, 3.545%, and 5.014%. The higher the confidence level, the VaR value is also higher. Based on backtesting results, VaR with Frank copula method is valid at 90%, 95%, and 99% confidence levels.

Keywords

Collaboration network of the authors

31 authors · 77 co-authorship links

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  • Hasanuddin University
  • Affiliation unknown
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Co-authorOrganisationJoint articles
Erna Tri HerdianiHasanuddin University5
Nasrah SirajangHasanuddin University2
RaupongAffiliation unknown2
Nurtiti SunusiHasanuddin University2
Andi Kresna JayaHasanuddin University2
Alimatun NajihaHasanuddin University2
Iis Cendrah KasihHasanuddin University1
Ika FitrianaHasanuddin University1
Asti Inayati MagfirahAffiliation unknown1
Mega Selvia TjahayaAffiliation unknown1
Andi Isna YunitaHasanuddin University1
Nur Alfianingsih RajaHasanuddin University1
Aqilah Salsabila RahmanAffiliation unknown1
Nurhidaya LAffiliation unknown1
Sitti SahrimanHasanuddin University1
Hendriete Tiur Marowi WaibusiHasanuddin University1
Sonya SonyaAffiliation unknown1
Anisa KalondengHasanuddin University1
Surya Cahyadi SyamAffiliation unknown1
Siswanto SiswantoHasanuddin University1
Taufiq AkbarHasanuddin University1
Hanifah LainunAffiliation unknown1
Amran AmranHasanuddin University1
Raupong RaupongHasanuddin University1
A. Muthiah Nur AngrianyHasanuddin University1
Aidawayati RangkutiHasanuddin University1
Aprizal ReskyHasanuddin University1
Nur Aminah AhmadHasanuddin University1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.unhas.ac.id/index.php/ESTIMASI/oai, first harvested 2 Nov 2026, last seen 8 Nov 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en">Analisis Value at Risk pada Portofolio Saham PT. Adaro Energy Tbk dan PT. Bukit Asam Tbk Menggunakan Metode Copula Archimedean</dc:title>
	<dc:creator xml:lang="en">Liman, Victor</dc:creator>
	<dc:creator xml:lang="en">Tinungki, Georgina Maria </dc:creator>
	<dc:creator xml:lang="en">Anisa, Anisa</dc:creator>
	<dc:subject xml:lang="en">Backtesting</dc:subject>
	<dc:subject xml:lang="en">Archimedean Copula</dc:subject>
	<dc:subject xml:lang="en">Risk</dc:subject>
	<dc:subject xml:lang="en">Stock</dc:subject>
	<dc:subject xml:lang="en">Value at Risk</dc:subject>
	<dc:description xml:lang="en">Value at Risk (VaR) is statistical method used in risk analysis in stock investments. Stock returns that are not normally distributed cause the risk calculation to be less precise, so to overcome this, the copula method can be used. Copula is a method based on dependencies between variables. The most commonly known copula family is the Archimedean copula which consists of the Clayton, Frank, and Gumbel copula. VaR is expected to be a feasible method to use, so it is important to perform backtesting. In this research, we use data on the daily closing price of PT. Adaro Energy Tbk and PT. Bukit Asam Tbk May 11, 2020 until June 15, 2022. The best copula based on the smallest Empirical copula value is Frank copula. VaR estimates for the 90%, 95%, and 99% confidence levels respectively were 2.688%, 3.545%, and 5.014%. The higher the confidence level, the VaR value is also higher. Based on backtesting results, VaR with Frank copula method is valid at 90%, 95%, and 99% confidence levels.</dc:description>
	<dc:publisher xml:lang="en">Hasanuddin University</dc:publisher>
	<dc:date>2023-08-04</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.unhas.ac.id/index.php/ESTIMASI/article/view/25575</dc:identifier>
	<dc:identifier>10.20956/ejsa.v4i2.25575</dc:identifier>
	<dc:source xml:lang="en">ESTIMASI: Journal of Statistics and Its Application; Vol. 4, No. 2, Juli, 2023 : Estimasi; 208-219</dc:source>
	<dc:source>2721-379X</dc:source>
	<dc:source>2721-3803</dc:source>
	<dc:language>en</dc:language>
	<dc:relation>https://journal.unhas.ac.id/index.php/ESTIMASI/article/view/25575/10212</dc:relation>
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