Proceedings of the International Conference on Maritime and Archipelago (ICoMA 2018)

Exponentially Weighted Moving Average (EWMA) in PT Astra Agro Lestari Tbk and PT Aneka TambangTbk

Authors
Darman Saputra, Hidayati, Sumar, Khairiansyah
Corresponding Author
Darman Saputra
Available Online October 2019.
DOI
https://doi.org/10.2991/icoma-18.2019.49How to use a DOI?
Keywords
Coagulation, Heteroskidastity,VaR EWMA, AALI, ANTM
Abstract
Exponentially Weighted Moving Average Method the standard deviation calculation described in the previous section assumes that the data volatility is constant (homoscedastic) and can not be applied to unstable (heteroscedastic) data volatility.Therefore, one of the approaches to deal with the volatility of non-constant (heteroscedastic) data is the Exponentially Weighted Moving Average (EWMA) method developed. Data collection The data used in this study is daily stock price data from several stocks, namely PT. Agro Lestari (Persero) and Aneka Tambang Tbk which then will be sought stock return. Period of share data used from March 27, 2013 to March 27, 2014.From the result of VaR analysis shows that the risk of buying AALI shares is bigger that is 1050,25274 compared to buying ANTM stock that is equal to 49,7633,766 in year 2013-2014, so this is one of the reference in decision of share in 2014 - 2015. Assessing VaR this can be a strategy in the company's decision to take stock portfolio policies other.
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Proceedings
International Conference on Maritime and Archipelago (ICoMA 2018)
Part of series
Advances in Engineering Research
Publication Date
October 2019
ISBN
978-94-6252-785-0
ISSN
2352-5401
DOI
https://doi.org/10.2991/icoma-18.2019.49How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Darman Saputra
AU  - Hidayati
AU  - Sumar
AU  - Khairiansyah
PY  - 2019/10
DA  - 2019/10
TI  - Exponentially Weighted Moving Average (EWMA) in PT Astra Agro Lestari Tbk and  PT Aneka TambangTbk
BT  - International Conference on Maritime and Archipelago (ICoMA 2018)
PB  - Atlantis Press
SP  - 231
EP  - 232
SN  - 2352-5401
UR  - https://doi.org/10.2991/icoma-18.2019.49
DO  - https://doi.org/10.2991/icoma-18.2019.49
ID  - Saputra2019/10
ER  -