Melola Discovery

← Melola Discovery

Open access Journal

Implementation of Jump Diffusion to Predict Stock Prices and Risk Analysis Using Value At Risk and Expected Shortfall (Case Study: PT. Indofood Sukses Makmur Tbk)

Implementasi Jump Diffusion Untuk Memprediksi Harga Saham Serta Analisis Risiko Menggunakan Value At Risk Dan Expected Shortfall (Studi Kasus: PT. Indofood Sukses Makmur Tbk)

Jurnal Matematika, Statistika dan Komputasi · Vol. 20 No. 3 (2024) · pp. 680–692

DOI
10.20956/j.v20i3.33261
ISSN
2614-8811, 1858-1382
Published
2024-05-15
Publisher
Department of Mathematics, Hasanuddin University
Language
en
License
creativecommons.org/licenses/by/4.0

Abstract

English

Stock prices often fluctuate; therefore, a model is needed to predict the stock price. One of the models that can be used to predict stock prices when experiencing a jump is Jump Diffusion. In addition to predicting, investment is inseparable from the risks that may be borne, so it is also necessary to measure risk. This study aims to implement the Jump Diffusion Model in predicting the stock price of PT Indofood Sukses Makmur Tbk and conduct a risk analysis of the prediction results using Value at Risk (VaR) and Expected Shortfall (ES). In this study, a model was obtained that was used to predict the share price of PT Indofood Sukses Makmur Tbk with a Mean Absolute Percentage Error (MAPE) value of 6.41%. This shows that the accuracy of the stock price prediction results is included in the very good category. In addition, the VaR value of the prediction results with a confidence level of 90%, 95%, and 99% is 0.0292, 0.0372, and 0.0523, and the ES value is 0.0402, 0.0474, and 0.0613.

Indonesian

Harga saham sering mengalami fluktuasi oleh karena itu diperlukan suatu model untuk memprediksi harga saham tersebut. Salah satu model yang dapat digunakan untuk memprediksi harga saham saat mengalami lompatan adalah Jump Diffusion. Selain memprediksi, investasi tidak terlepas dari adanya risiko yang mungkin ditanggung sehingga perlu juga untuk dilakukan pengukuran risiko. Penelitian ini bertujuan untuk mengimplementasikan Model Jump Diffusion dalam memprediksi harga saham PT. Indofood Sukses Makmur Tbk, serta melakukan analisis risiko dari hasil prediksi tersebut menggunakan Value at Risk (VaR) dan Expected Shortfall (ES). Pada penelitian ini diperoleh suatu model yang digunakan untuk memprediksi harga saham PT. Indofood Sukses Makmur Tbk dengan nilai Mean Absolute Percentage Error (MAPE) sebesar 6,41%. Hal ini menunjukkan bahwa tingkat keakuratan hasil prediksi harga saham termasuk ke dalam kategori sangat baik. Selain itu, diperoleh Nilai VaR hasil prediksi dengan tingkat kepercayaan 90%, 95%, dan 99% berturut-turut adalah 0,0292; 0,0372; 0,0523 dan nilai ES sebesar 0,0402; 0,0474; 0,0613.

Keywords

Collaboration network of the authors

16 authors · 22 co-authorship links · 2 across different organisations

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

  • Cenderawasih University
  • State University of Malang
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Diana SetyaningsihCenderawasih University2
Yuliana YulianaCenderawasih University1
Rasmy Daud DassiCenderawasih University1
Yuniar MatarruCenderawasih University1
Bobi Frans KuddiCenderawasih University1
Yokelin TokoroCenderawasih University1
Tasya Irensia AlfinCenderawasih University1
Jonathan Kiwasi WororomiCenderawasih University1
Mingsep Rante SampebuaCenderawasih University1
Azizah AzizahState University of Malang1
Agung Dwi SaputroCenderawasih University1
Tiku TandiangngaAffiliation unknown1
Herlina Datu WetipoCenderawasih 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/jmsk/oai, first harvested 5 Nov 2026, last seen 8 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">Implementation of Jump Diffusion to Predict Stock Prices and Risk Analysis Using Value At Risk and Expected Shortfall (Case Study: PT. Indofood Sukses Makmur Tbk)</dc:title>
	<dc:title xml:lang="id">Implementasi Jump Diffusion Untuk Memprediksi Harga Saham Serta Analisis Risiko Menggunakan Value At Risk Dan Expected Shortfall  (Studi Kasus: PT. Indofood Sukses Makmur Tbk) </dc:title>
	<dc:creator xml:lang="en">Seru, Feby</dc:creator>
	<dc:creator xml:lang="en">Jannah, Miftachul </dc:creator>
	<dc:creator xml:lang="en">Tandiangnga, Tiku </dc:creator>
	<dc:subject xml:lang="en">Jump Diffusion Model</dc:subject>
	<dc:subject xml:lang="en"> Stock Return</dc:subject>
	<dc:subject xml:lang="en">Investment</dc:subject>
	<dc:subject xml:lang="en">Prediction</dc:subject>
	<dc:subject xml:lang="en">Risk Analysis</dc:subject>
	<dc:description xml:lang="en">Stock prices often fluctuate; therefore, a model is needed to predict the stock price. One of the models that can be used to predict stock prices when experiencing a jump is Jump Diffusion. In addition to predicting, investment is inseparable from the risks that may be borne, so it is also necessary to measure risk. This study aims to implement the Jump Diffusion Model in predicting the stock price of PT Indofood Sukses Makmur Tbk and conduct a risk analysis of the prediction results using Value at Risk (VaR) and Expected Shortfall (ES). In this study, a model was obtained that was used to predict the share price of PT Indofood Sukses Makmur Tbk with a Mean Absolute Percentage Error (MAPE) value of 6.41%. This shows that the accuracy of the stock price prediction results is included in the very good category. In addition, the VaR value of the prediction results with a confidence level of 90%, 95%, and 99% is 0.0292, 0.0372, and 0.0523, and the ES value is 0.0402, 0.0474, and 0.0613.</dc:description>
	<dc:description xml:lang="id">Harga saham sering mengalami fluktuasi oleh karena itu diperlukan suatu model untuk memprediksi harga saham tersebut. Salah satu model yang dapat digunakan untuk memprediksi harga saham saat mengalami lompatan adalah Jump Diffusion. Selain memprediksi, investasi tidak terlepas dari adanya risiko yang mungkin ditanggung sehingga perlu juga untuk dilakukan pengukuran risiko. Penelitian ini bertujuan untuk mengimplementasikan Model Jump Diffusion dalam memprediksi harga saham PT. Indofood Sukses Makmur Tbk, serta melakukan analisis risiko dari hasil prediksi tersebut menggunakan Value at Risk (VaR) dan Expected Shortfall (ES). Pada penelitian ini diperoleh suatu model yang digunakan untuk memprediksi harga saham PT. Indofood Sukses Makmur Tbk dengan nilai Mean Absolute Percentage Error (MAPE) sebesar 6,41%. Hal ini menunjukkan bahwa tingkat keakuratan hasil prediksi harga saham termasuk ke dalam kategori sangat baik. Selain itu, diperoleh Nilai VaR hasil prediksi dengan tingkat kepercayaan 90%, 95%, dan 99% berturut-turut adalah 0,0292; 0,0372; 0,0523 dan nilai ES sebesar 0,0402; 0,0474; 0,0613&amp;nbsp; .</dc:description>
	<dc:publisher xml:lang="en">Department of Mathematics, Hasanuddin University</dc:publisher>
	<dc:date>2024-05-15</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/33261</dc:identifier>
	<dc:identifier>10.20956/j.v20i3.33261</dc:identifier>
	<dc:source xml:lang="en">Jurnal Matematika, Statistika dan Komputasi; Vol. 20 No. 3 (2024): May 2024; 680-692</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/33261/11483</dc:relation>
	<dc:relation>10.20956/j.v20i3.33261.g11483</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2024 Author and publisher</dc:rights>
	<dc:rights xml:lang="en">https://creativecommons.org/licenses/by/4.0</dc:rights>
</oai_dc:dc>