Permodelan GARCH pada IHSG dan Indeks LQ45

R Adisetiawan, Nuraini Nuraini, Hana Tamara Putri, Ahmadi Ahmadi

Abstract


ARCH and GARCH models are widely used to describe the form of volatility of a heteroskedastic time series data. Volatility is a measure of how far a stock price or stock price index moves in a given period. The LQ45 Index is an index that measures the performance of stocks of various companies that are operationally for the types of stocks that have high liquidity. The stock price index used is the LQ45 index for the period 2016.09-2021.09. The return of the stock price index is modeled in the best form of GARCH univariate. Research shows that the best GARCH univariate model is EGARCH (3,3).

Keywords


GARCH, LQ45 index, JCI return, volatility

Full Text:

PDF

References


Adisetiawan, R. (2018). Does Stock Split Influence to liquidity and stock return? (empirical evidence in the Indonesia capital market). Asian Economic and financial review, 8(5), 682-690.

Ahmadi, Adisetiawan., R. (2020). Multivariate Time Series in Macroeconomicd. Eksis: Jurnal Ilmiah Ekonomi dan Bisnis, 11(2), 151-161.

Asmas, Denny., Adisetiawan., R. (2019). Feedback: Stock Trading Activity. J-MAS (Jurnal Manajemen dan Sains), 4(1), 1-5.

Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327. doi:http://dx.doi.org/10.1016/0304-4076(86)90063-1

Engle, R. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007. doi:http://doi.org/10.2307/1912773

Orskaug, E. (2009). Multivariate DCC-GARCH model with various error distributions. Working paper.




DOI: http://dx.doi.org/10.33087/jmas.v6i2.307

Refbacks

  • There are currently no refbacks.


Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

J-MAS (Jurnal Manajemen dan Sains) Published by Program Studi Magister Manajemen, Fakultas Ekonomi, Universitas Batanghari
Adress: Fakultas Ekonomi, Jl.Slamet Ryadi, Broni-Jambi, Kec.Telanaipura, Kodepos: 36122, email: jmas.unbari@gmail.com

Creative Commons License This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.