Nurfadhlina Abdul HalimAgus SupriatnaAdhy Prasetyo2024-05-282024-05-28202016/2/20212722-0974https://doi.org/10.47194/orics.v1i1.22http://iorajournal.org/index.php/Orics/article/view/22https://oarep.usim.edu.my/handle/123456789/5705Volume :1 No:1Value at Risk (VaR) is one of the standard methods that can be used in measuring risk in stock investments. VaR is defined as the maximum possible loss for a particular position or portfolio in the known confidence level of a specific time horizon. The main topic discussed in this thesis is to estimate VaR using the TARCH (Threshold Autoregressive Conditional Heteroscedasticity) model in a time series by considering the effect of long memory. The TARCH model is applied to the daily log return data of a company's stock in Indonesia to estimate the amount of quantile that will be used in calculating VaR.Based on the analysis, it was found that with a significance level of 95% and assuming an investment of 200,000,000 IDR, the VaR using the TARCH model approach was 5,110,200 IDR per day.en-USLong memory, VaR, TARCH modelsArticle334211