Risk Measurement of Stocks Using Value at Risk with Johnson Transformation

• Main Authors: Sulistianingsih, Evy, Rosadi, Dedi, Abdurakhman, Abdurakhman
• 格式: Conference or Workshop Item PeerReviewed
• 出版: 2022
• 主題: Investment and Risk Management; Trade
• 在線閱讀: https://repository.ugm.ac.id/282696/; https://pubs.aip.org/aip/acp/article-abstract/2554/1/030015/2868902/Risk-measurement-of-stocks-using-value-at-risk?redirectedFrom=fulltext
• 機構: Universitas Gadjah Mada

This paper utilizes Johnson Value at Risk (JoVaR) to evaluate the individual risk of Indonesian five stocks listed in the LQ-45 Index (period of February 2021 until July 2021). The stocks are Aneka Tambang Tbk (ANTM), PT. Bank Central Asia Tbk (BBCA), PT. Indofood Sukses Makmur Tbk (INDF), Perusahaa...