Estimation of Average Value at Risk (AVaR) on Sharia Joint-Stock Index Using Glosten, Jaggnathan and Runkle (GJR) model

DOI

10.2991/assehr.k.210508.056How to use a DOI?

Keywords

GJR-GARCH, Asymmetric, AVaR

Abstract

The average value at risk (AVaR) is a measuring tool used to assess the worst loss experienced by an investor on a portfolio investment at a certain time. Furthermore. AVaR’s level of confidence needs to fulfill all the axioms regarding the nature of risk for risk-varse investors. This is because the possibility of an asymmetric volatility response can be overcomed by estimating the risk of loss using the Glosten. Jagganathan. and Runkle (GJR) models. In this study. the stock price data for the period January 1-28 December 2018 were used for the response. Therefore. this study aims to determine the risk estimation of stock price loss using the Average Value at Risk with the Glosten Jagganathan and Runkle models. The results showed that the stock price obtained from the AVaR estimation with a 95% confidence level of 0.1627% may be experienced one day ahead.

Copyright

© 2021, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Sri Muslihah Bakhtiar
AU  - Ermawati
AU  - Ilham Syata
AU  - Wahidah Alwi
AU  - Risnawati Ibnas
AU  - Sri Dewi Anugrawati
PY  - 2021
DA  - 2021/05/11
TI  - Estimation of Average Value at Risk (AVaR) on Sharia Joint-Stock Index Using Glosten, Jaggnathan and Runkle (GJR) model
BT  - Proceedings of the 1st International Conference on Mathematics and Mathematics Education (ICMMEd 2020)
PB  - Atlantis Press
SP  - 143
EP  - 149
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.210508.056
DO  - 10.2991/assehr.k.210508.056
ID  - Bakhtiar2021
ER  -