EMAIL: PASSWORD:
Front Office
UPT. PERPUSTAKAAN
Institut Teknologi Sepuluh Nopember Surabaya


Kampus ITS Sukolilo - Surabaya 60111

Phone : 031-5921733 , 5923623
Fax : 031-5937774
E-mail : libits@its.ac.id
Website : http://library.its.ac.id

Support (Customer Service) :
timit_perpus@its.ac.id




Welcome..guys!

Have a problem with your access?
Please, contact our technical support below:
LIVE SUPPORT


Moh. Fandika Aqsa


Davi Wahyuni


Tondo Indra Nyata


Anis Wulandari


Ansi Aflacha




ITS » Master Theses » Statistika - S2
Posted by anis at 30/12/2006 10:27:22  •  18323 Views


PERAMALAN VOLATILITAS INDEKS HARGA SAHAM MENGGUNAKAN MODEL ASIMETRIK GARCH GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY DENGAN DISTRIBUSI SKEWED STUDENT

FORECASTING OF VOLATILITY STOCK EXCHANGE PRICE INDICES USING ASYMMETRIC GARCH GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITYWITH SKEWED STUDENT4 DISTRIBUTION

Author :
Wahyuni, Susi Tri  




ABSTRAK

Kondisi perekonomian Indonesia dari tahun ke tahun mengalami fluktuasi sesuai dengan siklus konjungtur. Disamping permasalahan yang ada dalam ekonomi permasalahan non ekonomi poiitik dan sosial juga sangat mempengaruhi fluktuasi tersebut. Hal ini berarti bahwa ketidakstabilan ekonomi yang dirasakan telah mempengaruhi perilaku para pelaku pasar modal dalam menganalisis dan memprediksi pendapatannya. Data financial seperti indeks harga saham seringkali terjadi heteroskedastisitas. Salah satu tehnik pemodelan yang dapat digunakan untuk menganalisis kondisi tersebut adalah menggunakan model GARCH. Sayangnya model GARCH seringkali tidak dapat menangkap secara penuh adanya thick-tailed property dari kasus finansial time series pada frekuensi yang tinggi. Untuk mengatasi kelemahan tersebut akan digunakan model asimetrik GARCH. Dengan metodologi Box-Jenkins data Indeks Harga Saham Gabungan mempunyai mean model ARIMA 10 17 6910. Model tersebut dapat dinyatakan sebagai yt yt-i 006677 yt-10 - 006677 yt-11 0085481 yt-69 0081374 yt-69 0081374 yt-70. Sedangkan model GARCH yang diperoleh adalah model GARCH 21 yang dapat dinyatakan sebagai h 330389 0184906u1-i 0432752ht-1 0365948ht-2. Sedangkan AGARCH yang dimodelkan dalam penelitian ini dianggap tidak cukup baik dalam memodelkan Volatilitas Indeks Harga Saham Gabungan .


ABSTRACT

The condition of Indonesian economic in a years having fluctuation following such as konjungtur cycle. Besides in economic problem non economic problem such as social and politic are also influence that fluctuation it means instability had influenced of stock exchange situation to analyze and predict they return. Financial data such as stock exchange price indices often having heteroscedasticity. One of modeling technical to analyze that condition is using GARCH models. Unfortunately GARCH models often do not fully capture the thick tails property of high frequency financial time series. For contend this weakness well using Asymmetric GARCH model. By Box-Jenkins methods the Composite Price Indices having mean model ARIMA mean model 10 17 6910 or yt yt-i 006677 yt-10 - 006677 yt-11 0085481 yt-69 0081374 yt-69 0081374 yt-70 . With the same data we can having GARCH 21 model or h 330389 0184906u1-i 0432752ht-1 0365948ht-2. In this research the Asymmetric GARCH AGARCH model cant proper to modeling Composite Price Indices Volatility



KeywordsARCH; GARCH; Asimetrik GARCH ; ARCH; GARCH; Asymmetric GARCH.
 
Subject:  Statistik
Contributor
  1. Prof. Drs. Nur Iriawan, M.lkom, Ph.D
    Ir Dwiatmono AW, M.lkom
Date Create: 30/12/2006
Type: Text
Format: pdf; 46 pages
Language: Indonesian
Identifier: ITS-Master-3100006026350
Collection ID: 3100006026350
Call Number: 519.536 Wah p


Source
Theses Statistica RTSt 519.536 Wah p, 2005

Coverage
ITS Community

Rights
Copyright @2005 by ITS Library. This publication is protected by copyright and permission should be obtained from the ITS Library prior to any prohibited reproduction, storage in a retrievel system, or transmission in any form or by any means, electronic, mechanical, photocopying, recording, or likewise. For information regarding permission(s), write to ITS Library




[ Download - Summary ]

ITS-Master-3100006026350-400.pdf




 Similar Document...




! ATTENTION !

To facilitate the activation process, please fill out the member application form correctly and completely

Registration activation of our members will process up to max 24 hours (confirm by email). Please wait patiently

POLLING

Bagaimana pendapat Anda tentang layanan repository kami ?

Bagus Sekali
Baik
Biasa
Jelek
Mengecewakan





You are connected from 34.201.18.139
using CCBot/2.0 (https://commoncrawl.org/faq/)



Copyright © ITS Library 2006 - 2020 - All rights reserved.
Dublin Core Metadata Initiative and OpenArchives Compatible
Developed by Hassan