APPLICATION OF THE COPULA FRANK FOR ESTIMATING VALUE AT RISK (VAR) IN TELECOMMUNICATION SUB SECTOR STOCKS
DOI:
https://doi.org/10.22487/27765660.2025.v5.i2.17823Keywords:
Investment, VaR, Copula, Frank CopulaAbstract
Investment is investing capital with the aim of getting money or additional profits. When investing, you need to pay attention to risks that can cause losses for investors. One method that is widely used to measure investment risk is Value at Risk (VaR). VaR often has limitations, especially in capturing non-linear dependencies between variables, so a copula function is needed that can handle moderate to strong dependencies. One of the copulas used is the Archimedian copula with Frank subcopula. This article aims to estimate investment risk using the Value at Risk (VaR) method based on the Frank copula approach and to analyze the dependency structure between stock returns. The main steps in estimating VaR using the Frank copula are calculating the return of each stock, estimating the parameters of the Frank copula, carrying out data simulations using Frank copula parameters, calculating the VaR value using Frank copula. The data used in this research comes from shares of PT. Telkom Indonesia Tbk and shares PT. Indosat Ooredoo Hutchison Tbk. These two stocks have a positive correlation of 0.136. However, such a low correlation may still indicate for non-linear dependencies or tail dependencies that cannot be captured by linear correlations, so additional analysis, namely Frank copula, is required. The estimated Frank copula parameter value is 0.825. From the VaR estimation results, the risk obtained at a 90% confidence level is -0.0222, at a 95% confidence level it is -0.0281 and at a 99% confidence level it is -0.0383.
References
Anisha, E., Maruddani, D. A. I., & Suparti, S. (2021). Copula Frank Untuk Perhitungan Value At Risk Portofolio Bivariat Pada Model Exponential Generalized Autoregressive Conditional Heteroscedasticity. Jurnal Gaussian, 10(4), 562–572. https://doi.org/10.14710/j.gauss.v10i4.29932
Bob, N. K. (2013). Value at Risk Estimation . A GARCH- EVT-Copula Approach. Mathematical Statistics, Stockholm univesity. https://www2.math.su.se/matstat/reports/master/2013/rep6/report.pdf
Box, G. E. P., & Pierce, D. A. (1970). Distribution of residual autocorrelations in autoregressive-integrated moving average time series models. Journal of the American Statistical Association, 65(332), 1509–1526. https://doi.org/10.1080/01621459.1970.10481180
Cherubini, U., & Luciano, E. (2004). Copula methods in finance. In Risk Management. http://www.elan.com.mx/biblioteca/FINANCE MATERIAL CM/Wiley Copula Methods in Finance.pdf
Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987–1007. https://doi.org/10.1093/oso/9780198774310.003.0001
Genest, C. (1987). Frank’s family of bivariate distributions. Biometrika, 74(3), 549–555. https://doi.org/10.1093/biomet/74.3.549
Gibbons, J. D., & Chakraborti, S. (2014). Nonparametric statistical inference: revised and expanded. CRC press.
Glasserman, P. (2003). Monte Carlo Methods in.
Handini, J. A., Asih, I. M. Di, & Safitri, D. (2018). Copula Frank Pada Value At Risk (Var) Pembentukan Portofolio Bivariat (Studi Kasus: Saham-Saham Perusahaan yang Meraih Predikat The IDX …. Jurnal Gaussian, 7(2011), 293–302. https://ejournal3.undip.ac.id/index.php/gaussian/article/view/26662%0Ahttps://ejournal3.undip.ac.id/index.php/gaussian/article/download/26662/23559
Islamiyanti, E., Maya, H., & Sari, K. (2023). Pengaruh Struktur Modal , Risiko Sistematis dan Likuiditas Terhadap Return Saham ( pada Perusahaan di. 3, 1–17.
Maruddani, D. A. I., & Purbowati, A. (2012). Pengukuran Value At Risk Pada Aset Tunggal Dan Portofolio Dengan Simulasi Monte Carlo. Media Statistika, 2(2), 93–104. https://doi.org/10.14710/medstat.2.2.93-104
Mundir, D. H. (2012). Statistik Pendidikan (P. Pelajar (ed.)).
Myers, J. L. A. D. W. (2003). Research Design and Statistical Analysis (second edition ed.). In Research Design and Statistical Analysis second edition ed.
Nelsen, R. B. (2006). An Introduction to Copulas. In An Introduction to Copulas. https://doi.org/10.1007/0-387-28678-0
Prowanta, E. (2019). Manajemen Resiko Pasar Modal (second edition).
Shofiyuddin, M. (2018). Pengaruh Kinerja Keuangan Terhadap Return Saham Perusahaan Sektor Otomotif Di Bei.
Solikha, L. W. (2012). Studi Copula Frank Family 2-Dimensi Dalam Identifikasi Struktur Dependensi.
