Abstract
Value at Risk (VaR) is a measure of risk that is able to calculate the worst possible loss that can occurs to stock prices with a certain level of confidence and within a certain period of time. The purpose of this study was to determine the VaR estimate from PT. Indonesian Telecommunications by using Displaced Diffusion volatility. The Displaced Diffusion Model is a stochastic volatility model that describes changes in a financial asset assuming volatility is not constant, but follows a stochastic process. Displaced Diffusion model are capable of modelling skewed implied volatility structures and frequently applied by interest rate quants. Based on the estimation of Displaced Diffusion volatility, it is found that volatility for PT. Indonesian Telecommunications is 0.010168 and VaR estimation using Displaced Diffusion volatility with a confidence level of 95 percent of 1.63%.
Highlights
Value at Risk (VaR) is a measure of risk that is able to calculate the worst possible loss that can occurs to stock prices with a certain level of confidence and within a certain period of time
it is found that volatility for PT
Jurnal of Banking & Finance, 29, 997-1015
Summary
Beberapa tahun belakangan ini investasi mulai menjadi tren yang sering dibicarakan oleh masyarakat. Value at Risk (VaR) merupakan suatu ukuran risiko yang dapat menghitung besarnya kerugian terburuk yang terjadi pada harga saham dengan tingkat kepercayaan tertentu dan dalam interval waktu tertentu. Estimasi Value At Risk Menggunakan Volatilitas Displaced Diffusion disebutkan, model Stochastic Volatility lebih unggul dibandingkan dengan model GARCH, karena mengasumsikan volatilitas suatu aset mengikuti proses stokastik dan bukan konstan (Kim et al, 1998). Model Black-Scholes, yaitu model yang mengasumsikan bahwa volatilitas yang mendasarinya konstan sepanjang umur aset dan tidak terpengaruh terhadap perubahan tingkat harga saham. Model Displaced Diffusion merupakan model Stochastic Volatility yang menggambarkan perubahan suatu aset finansial dengan mengasumsikan volatilitas tidak konstan, namun mengikuti proses stokastik. Implied volatility adalah penaksiran volatilitas yang dalam penentuannya mengasumsikan bahwa harga opsi di pasar modal sama dengan harga teoritis yang dihitung menggunakan model Black-Scholes, atau dapat ditulis sebagai (Dharmawan & Widana, 2011). Dari persamaan Black-scholes standar pada persamaan (3) diperoleh nilai volatilitas displaced diffusion (5)
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