Value At Risk (VaR) Ditinjau Dengan Menggunakan Teknikal Analisis

Value at Risk (VaR) is one form of measuring risk which is quite good. In order to produce a valid risk value in the stock exchange, it needs technical analysis, which uses historical data about the development of stock prices and trading volume of shares that can be known the patterns of stock price movements based on observation of stock price movement in the past.Through forecasting model GARCH-M type (Generalized Autoregressive Conditional Heteroskedasticity in Mean) can be measured the level of risk on the value of stock PT Astra International, Tbk period August 2011 to February 2011. Value of value at risk which is measured in this study is using standard deviation indicator and simple moving average.The Results obtained from this research is the value of value at risk of stock price PT Astra International, Tbk by the period of closing stock price that is expected to be used as a reference in analyzing the stock price fluctuations on the company.