Price Index Modeling and Risk Prediction of Sharia Stocks in Indonesia

This study aimed to predict the JKII (Jakarta Islamic Index) price as a index of sharia stocks and loss risk. uses geometric Brownian motion (GBM) Value at Risk (VaR; with Monte Carlo Simulation approach) on daily closing from 1 August 2020–13 2021 risk 16 2021–23 2021. The findings this were very accurate for predicting MAPE value 2.03%. Then, using VaR approach, prediction (one-day trading period after 13 2021) 90%, 95%, 99% confidence levels was 2.40%, 3.07%, 4.27%, respectively. Most Indonesian Muslims have financial assets in form investments they offer higher returns within relatively short time. movement all stock prices traded market can be seen through index, namely Index). Therefore, focus an Indonesia. extends previous literature determine GBM simulation approach.