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Risk Measurement of Stocks Using Value at Risk with Johnson Transformation

Risk Measurement of Stocks Using Value at Risk with Johnson Transformation

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...

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Bibliographic Details
Main Authors: Sulistianingsih, Evy, Rosadi, Dedi, Abdurakhman, Abdurakhman
Format: Conference or Workshop Item PeerReviewed
Published: 2022
Subjects:
Investment and Risk Management
Trade
Online Access: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
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Institution: Universitas Gadjah Mada

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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

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