ESTIMASI RISIKO PORTOFOLIO SAHAM MENGGUNAKAN METODE VALUE-AT-RISK (VaR) DENGAN PENDEKATAN GARCH-COPULA

Indonesia's economic development has recently experienced turmoil due to the pandemic Covid-19 which affects capital market condition, so it is necessary to analyze characteristics of stock prices and returns also the investment risks. Investment risk measurement using Value at Risk (VaR) estimation will be determined by simulation Monte Carlo with GARCH-Copula approach. This research will use BRPT and ICBP stock data for the period before the Covid-19 pandemic, January 2, 2017 - February 28, 2020 and the period after the Covid-19 pandemic, March 2, 2020 - February 28, 2023.The best model of copula on the period before the Covid-19 pandemic is Frank copula and for the period after the Covid-19 pandemic is Clayton copula. Using the selected model, an accurate VaR based on back testing result for the period before the Covid-19 pandemic is -0.01973782 and the period after the Covid-19 pandemic is -0.02353096.