Melola Discovery

← Melola Discovery

Open access Journal

Risk Analysis of Gold Sale Price and Investment of Antam Shares Using Expected Shortfall in Pandemic Covid-19

ANALISIS RISIKO HARGA JUAL EMAS DAN INVESTASI SAHAM ANTAM MENGGUNAKAN EXPECTED SHORTFALL PADA MASA PANDEMI COVID-19

Jurnal Matematika, Statistika dan Komputasi · Vol. 17 No. 3 (2021) · pp. 428–437

DOI
10.20956/j.v17i3.12779
ISSN
2614-8811, 1858-1382
Published
2021-05-12
Publisher
Department of Mathematics, Hasanuddin University
Language
en
License
creativecommons.org/licenses/by/4.0

Abstract

English

The Covid-19 pandemic caused the price of gold produced by PT Aneka Tambang (Antam) to experience a high increase following the world gold price, while stock investment decreased. Measuring risk is significant in financial analysis; this is related to investment funds, which are quite large and narrow about public funds. This study analyzes the risk data on Antam gold price and Antam stock closing price with an estimated Shortfall (ES). The method used to measure the risk of investing in stocks is ES. ES is the expectation of a conditional loss that exceeds Value at Risk (VaR). To compute ES data showing deviations from normality and Cornish-Fisher expansion. The volatility measurement model used is the autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) model.This study found that the ES value of Antam gold price was smaller than Antam stock price.

Indonesian

Pandemi Covid 19 menyebabkan harga emas yang di produksi PT Aneka Tambang (Antam) mengalami kenaikan tinggi mengikuti harga emas dunia, sedangkan investasi saham mengalami penurunan. Pengukuran risiko sesuatu hal yang sangat penting dalam analisis keuangan, ini berhubungan dengan investasi dana yang cukup besar dan seringkali pula berkenaan dengan dana publik. Penelitian ini bertujuan menganalisis risiko pada data harga emas Antam dan harga penutupan saham Antam dengan estimasi Expected Shortfall (ES). Metode yang digunakan untuk mengukur risiko investasi saham adalah ES. ES merupakan ekspektasi dari kerugian bersyarat melebihi Value at Risk (VaR). Untuk menghitung ES data yang menunjukkan penyimpangan dari normalitas digunakan ekspansi Cornish-Fisher. Model pengukuran volatilitas yang digunakan adalah model autoregressive conditional heteroskedasticity (ARCH) dan generalized ARCH (GARCH). Dari hasil penelitian ini diperoleh nilai ES harga emas Antam lebih kecil dari harga saham Antam.

Keywords

Collaboration network of the authors

10 authors · 15 co-authorship links

Hover or tap a name to highlight its co-authors. Double-click to open the author's page.

  • Universitas Halu Oleo
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
ALBERT LUMBUAffiliation unknown1
INDAH SLAMET BUDIARTIAffiliation unknown1
La Ode SabranUniversitas Halu Oleo1
La Ode NasharAffiliation unknown1
Lilis Harianti HasibuanAffiliation unknown1
Nurweni PutriAffiliation unknown1
Rosi RamayantiAffiliation unknown1

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/jmsk/oai, first harvested 5 Nov 2026, last seen 5 Nov 2026.
Original metadata (oai_dc) 
<oai_dc:dc xmlns="http://www.openarchives.org/OAI/2.0/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/  http://www.openarchives.org/OAI/2.0/oai_dc.xsd">
	<dc:title xml:lang="en">Risk Analysis of Gold Sale Price and Investment of Antam Shares Using Expected Shortfall  in Pandemic Covid-19</dc:title>
	<dc:title xml:lang="id">ANALISIS RISIKO HARGA JUAL EMAS DAN INVESTASI SAHAM ANTAM MENGGUNAKAN EXPECTED SHORTFALL PADA MASA PANDEMI COVID-19</dc:title>
	<dc:creator xml:lang="en">Sulistiowati, Dwi</dc:creator>
	<dc:creator xml:lang="en">Syahrul, Maya Sari </dc:creator>
	<dc:creator xml:lang="en">Rianjaya, Ilham Dangu </dc:creator>
	<dc:subject xml:lang="en">ARCH</dc:subject>
	<dc:subject xml:lang="en"> Expected Shortfall</dc:subject>
	<dc:subject xml:lang="en">GARCH</dc:subject>
	<dc:subject xml:lang="en">VaR</dc:subject>
	<dc:description xml:lang="en">The Covid-19 pandemic caused the price of gold produced by PT Aneka Tambang (Antam) to experience a high increase following the world gold price, while stock investment decreased. Measuring risk is significant in financial analysis; this is related to investment funds, which are quite large and narrow about public funds. This study analyzes the risk data on Antam gold price and Antam stock closing price with an estimated Shortfall (ES). The method used to measure the risk of investing in stocks is ES. ES is the expectation of a conditional loss that exceeds Value at Risk (VaR). To compute ES data showing deviations from normality and Cornish-Fisher expansion. The volatility measurement model used is the autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) model.This study found that the ES value of Antam gold price was smaller than Antam stock price.</dc:description>
	<dc:description xml:lang="id">Pandemi Covid 19 menyebabkan harga emas yang di produksi PT Aneka Tambang (Antam) mengalami kenaikan tinggi mengikuti harga emas dunia, sedangkan investasi saham mengalami penurunan. Pengukuran risiko sesuatu hal yang sangat penting dalam analisis keuangan,&amp;nbsp;ini berhubungan dengan investasi dana yang cukup besar dan seringkali pula berkenaan dengan dana publik.&amp;nbsp;Penelitian ini &amp;nbsp;bertujuan menganalisis&amp;nbsp;risiko pada data harga&amp;nbsp;emas Antam dan harga penutupan saham Antam&amp;nbsp;dengan estimasi Expected Shortfall&amp;nbsp;(ES). Metode yang digunakan untuk mengukur risiko investasi saham adalah ES. ES&amp;nbsp;merupakan ekspektasi dari kerugian bersyarat melebihi Value at Risk (VaR). Untuk menghitung &amp;nbsp;ES&amp;nbsp;data yang menunjukkan penyimpangan dari normalitas digunakan &amp;nbsp;ekspansi Cornish-Fisher. Model pengukuran volatilitas yang digunakan adalah model autoregressive conditional heteroskedasticity&amp;nbsp;(ARCH)&amp;nbsp;dan generalized ARCH&amp;nbsp;(GARCH). Dari hasil penelitian ini diperoleh nilai ES harga emas Antam lebih kecil dari harga saham Antam.</dc:description>
	<dc:publisher xml:lang="en">Department of Mathematics, Hasanuddin University</dc:publisher>
	<dc:date>2021-05-12</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/jmsk/article/view/12779</dc:identifier>
	<dc:identifier>10.20956/j.v17i3.12779</dc:identifier>
	<dc:source xml:lang="en">Jurnal Matematika, Statistika dan Komputasi; Vol. 17 No. 3 (2021):  May, 2021; 428-437</dc:source>
	<dc:source>2614-8811</dc:source>
	<dc:source>1858-1382</dc:source>
	<dc:language>en</dc:language>
	<dc:relation>https://journal.unhas.ac.id/index.php/jmsk/article/view/12779/6714</dc:relation>
	<dc:relation>10.20956/j.v17i3.12779.g6714</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2021 Author and publisher</dc:rights>
	<dc:rights xml:lang="en">https://creativecommons.org/licenses/by/4.0</dc:rights>
</oai_dc:dc>