Price Index Modeling and Risk Prediction of Sharia Stocks in Indonesia

Price Index Modeling and Risk Prediction of Sharia Stocks in Indonesia

This study aimed to predict the JKII (Jakarta Islamic Index) price as a price index of sharia stocks and predict the loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach) on the daily closing price of JKII from 1 August 2020–13 A...

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Bibliographic Details
Main Authors: Hersugondo Hersugondo, Imam Ghozali, Eka Handriani, Trimono Trimono, Imang Dapit Pamungkas
Format: Article
Language:English
Published: MDPI AG 2022-01-01
Series:Economies
Subjects:
Sharia investment
Jakarta Islamic Index (JKII) price
loss risk
geometric Brownian motion
Value at Risk
Online Access:https://www.mdpi.com/2227-7099/10/1/17

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