Binsar Hermawan, 1517031175 (2019) PEMODELAN DATA TIME SERIES ASIMETRIK DENGAN EXPONENTIAL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (EGARCH). FAKULTAS MATEMATIKA DAN ILMU PENGETAHUAN ALAM, UNIVERSITAS LAMPUNG.
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Abstract
In the case of financial data, it usually tends to fluctuate rapidly from time to time so that the variance of the error will always change every time (heterogeneous) but also has an asymmetrical effect. The purpose of this study is to apply the best EGARCH model on closing price return data of PT Jasa Marga Tbk. which has asymmetric in its volatility. The results of this study found that the best model is EGARCH (1.3) with the following equation: ln
| Item Type: | Other |
|---|---|
| Subjects: | Q Science (General) > QA Mathematics |
| Divisions: | Fakultas MIPA > Prodi Matematika |
| Depositing User: | Users 8313 not found. |
| Date Deposited: | 11 Mar 2022 07:59 |
| Last Modified: | 11 Mar 2022 07:59 |
| URI: | http://digilib.unila.ac.id/id/eprint/54389 |
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