Penentuan Nilai Resiko Saham PT. Gudang Garam Tbk dengan Momen Statistika

Abstract

Model Value at Risk (VaR) risk measuring instrument that be unsightly loss possibility measurement in a condition normal market in range of time T with certain belief level a. One of the aspect wring be attention risk analysis in financial system, in this case calculation value at risk.Capital again is the difference between the market price in the current period to the previous period. This measurement shows comparison two calculation methodologies var that use standard normalitas and calculate two moment statistika other from finance data, that is skewness and kurtosis. Result that go to show that latest methodology shows calculation accuracy better than approach tradisional that show standard normalitas.