TESTING OF VALUE AT RISK AND GENERALIZED AUTOREGRESSIVE CONDITIONAL...

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ABSTRACT
The purpose of this research is to examine Generalized autoregressive conditional heteroskedasticity (GARCH) and
Value at risk (VaR) model to predict future risks. This study uses backtesting test with Kupiec criterion that aims to test whether
the Var wirh GARCH model is appropriately applied to calculate risk during economic crisis in 2005, 2008, and 2010. Finding
from this research shows that GARCH and VaR models are not appropriate to be applied in managing risk during economic
crisis in 2005, 2008, and 2010 by using 95% confidence level and 99% confidence level.