Prediksi Return Saham dan Analisis Risiko PT Telekomunikasi Indonesia Tbk Menggunakan Model Arima-Tgarch dan VaR

Ginting, Imanta (2025) Prediksi Return Saham dan Analisis Risiko PT Telekomunikasi Indonesia Tbk Menggunakan Model Arima-Tgarch dan VaR. Undergraduate thesis, UPN Veteran Jawa Timur.

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Abstract

Stock investment is one of the main instruments in the Indonesian capital market due to its high potential returns, despite significant risks. PT Telekomunikasi Indonesia Tbk (Telkom), as the largest telecommunications company in Indonesia, is the focus of this study. High price fluctuations cause volatility, so investors need an analysis approach that can not only predict returns but also quantify risks. This study aims to predict Telkom's stock returns and measure the maximum investment risk using the Value at Risk (VaR) approach. To capture linear patterns, the Autoregressive Integrated Moving Average (ARIMA) model is used, while volatility is modeled using Threshold Generalized Autoregressive Conditional Heteroskedasticity (TGARCH). ARIMA was chosen for its ability to model trends and seasonal patterns in time series data, while TGARCH was used to capture the asymmetric effects of volatility, where negative shocks typically have a greater impact than positive shocks. The data used consisted of Telkom's daily closing prices from January 2020 to January 2025, which were then processed into daily returns. The test results show that the ARIMA model is able to capture the linear pattern of returns, but the residuals still contain heteroskedasticity. The ARCH and GARCH models provide significant results, but the sign bias test indicates an asymmetric effect. Therefore, TGARCH is selected to handle the asymmetric volatility effect. The five-day forecast shows that Telkom's stock returns are relatively small and tend to fluctuate in the range of -0.001732 to 0.001574. The volatility estimate is in a stable range of around 0.0158 to 0.0160, indicating that market uncertainty in the forecast period has not changed significantly. Risk analysis using the VaR method at a 95% confidence level for a portfolio worth IDR 50,000,000 shows a maximum potential loss of IDR 1.8–1.9 million. This stable VaR value indicates that the risk of investing in Telkom shares in the forecast period is relatively controlled, even though returns show fluctuations. In addition, this study also produced a web-based system prototype using the Agile approach, which allows users to enter stock data, obtain return predictions, volatility estimates, and VaR calculations interactively.

Item Type:

Thesis (Undergraduate)

Contributors:

Contribution	Contributors	NIDN/NIDK	Email
Thesis advisor	Trimono, Trimono	NIDN0008099501	trimono.stat@upnjatim.ac.id
Thesis advisor	Hindrayani, Kartika Maulida	NIDN0009099205	kartika.maulida.ds@upnjatim.ac.id

Subjects:

Q Science > QA Mathematics > QA76.6 Computer Programming

Divisions:

Faculty of Computer Science > Departemen of Data Science

Depositing User:

Imanta Ginting

Date Deposited:

07 Oct 2025 08:13

Last Modified:

07 Oct 2025 08:13

URI:

https://repository.upnjatim.ac.id/id/eprint/44719