Nurmawati, Yessa (2026) Analisis perbandingan risiko indeks pasar saham S&P 500 terhadap sentimen publik menggunakan metode GARCH-X, GJR-GARCH-X dan EGARCH-X. Sarjana thesis, UIN Sunan Gunung Djati Bandung.
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Abstract
BAHASA INDONESIA : Ketidakpastian ekonomi dan sentimen publik memengaruhi pergerakan indeks saham sehingga meningkatkan risiko investasi. Penelitian ini bertujuan untuk menganalisis risiko pada indeks S&P 500 dengan menggunakan metode Value at Risk (VaR) berbasis model GARCH-X, GJR-GARCH-X, dan EGARCH-X dengan variabel eksogen EPU, EMV, TEU-ENG, dan TEU-USA. Estimasi parameter dilakukan menggunakan metode Maximum Likelihood Estimation (MLE) dengan distribusi Student-t. Hasil penelitian menunjukkan bahwa penambahan variabel eksogen dapat meningkatkan kinerja model yang ditunjukkan oleh nilai AIC dan BIC yang lebih rendah. Variabel TEU-USA merupakan faktor yang paling dominan dalam mempengaruhi volatilitas. Selain itu, model terbaik memenuhi uji Kupiec pada tingkat signifikansi 1%, sehingga model dinyatakan valid dalam mengukur risiko. ENGLISH : Economic uncertainty and public sentiment influence stock index movements, thereby increasing investment risk. This study aims to analyze risk in the S&P 500 index using the Value at Risk (VaR) method based on the GARCH-X, GJR-GARCH-X, and EGARCH-X models with the exogenous variables EPU, EMV, TEU-ENG, and TEU-USA. Parameter estimation was performed using the Maximum Likelihood Estimation (MLE) method with the Student-t distribution. The results show that the addition of exogenous variables can improve model performance, as indicated by lower AIC and BIC values. The TEU-USA variables are the most dominant factors influencing volatility. Furthermore, the best model passed the Kupiec test at the 1% significance level, thereby validating the model’s ability to measure risk.
| Item Type: | Thesis (Sarjana) |
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| Uncontrolled Keywords: | Value at Risk; Volatilitas; Sentimen Publik; GARCH-X; GJR-GARCH-X; EGARCH-X |
| Subjects: | Econmics > Data Processing and Analysis of Economic Applied mathematics > Statistical Mathematics Applied mathematics > Mathematical Optimization Applied mathematics > Programming Mathematics |
| Divisions: | Fakultas Sains dan Teknologi > Program Studi Matematika |
| Depositing User: | Yessa Nurmawati |
| Date Deposited: | 04 Aug 2026 02:21 |
| Last Modified: | 04 Aug 2026 06:57 |
| URI: | https://digilib.uinsgd.ac.id/id/eprint/137335 |
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