?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.title=ANALISIS+DATA+TIME+SERIES%0D%0AMENGGUNAKAN+MODEL+EXPONENTIAL+GENERALIZED%0D%0AAUTOREGRESSIVE+CONDITIONAL+HETEROSCEDASTICITY%0D%0A(EGARCH)+(1%2C1)&rft.creator=RIYAMA+AMBARWATI%2C++1217031057&rft.subject=Q+Science+(General)&rft.subject=QA+Mathematics&rft.description=Perilaku+data+finansial+terkadang+tidak+hanya+memiliki+volatilitas+yang+tinggi+dan%0D%0Aragam+yang+heterogen%2C+tetapi+juga+memiliki+pengaruh+asimetris+atau+laverage+effect%0D%0Aantara+penurunan+harga+(bad+news)+dan+peningkatan+harga+(good+news).+Oleh%0D%0Akarena+itu%2C+salah+satu+model+yang+dapat+mengatasi+pengaruh+asimetrik+ini+adalah%0D%0Amodel+EGARCH.+Tujuan+dari+penelitian+ini+adalah+untuk+mendapatkan+model%0D%0AEGARCH+yang+terbaik+dan+untuk+meramalkan+data+mingguan+harga+saham+PT.%0D%0ATambang+Batu+Bara+Bukit+Asam+Tbk.+dari+Januari+2009+hingga+Februari+2016.%0D%0AModel+terbaik+yang+diperoleh+untuk+data+tersebut+adalah+model+ARIMA+(1%2C+1%2C+0)%0D%0Adan+model+EGARCH+(1%2C1).+Hasil+ramalan+untuk+empat+periode+berikutnya+sangat%0D%0Abaik+dan+semua+nilai+berada+di+dalam+interval+konfidensi+95%25.%0D%0AKata+Kunci+%3A+Heteroskedastisitas%2C+efek+asimetris%2C+EGARCH%0D%0A%0D%0AABSTRACT%0D%0A%0D%0AThe+behaviour+of+financial+data+sometimes+not+only+have+high+volatility+and%0D%0Aheterogencity+of+variance%2C+but+also+has+laverage+asymmetric+effect+namely+a%0D%0Adecrease+in+the+price+(bad+news)+and+increase+in+the+price+(good+news).+There+was%0D%0Aa+model+that+can+cope+with+these+type+of+behaviour%2C+namely+EGARCH+model.+The%0D%0Aaims+of+this+study+are+to+find+the+best+EGARCH+model+and+to+forecast+data+weekly%0D%0Ashare+price+of+PT.+Tambang+Batu+Bara+Bukit+Asam+Tbk.+from+January+2009+to%0D%0AFebruary+2016.+The+best+model+for+the+data+is+ARIMA+(1%2C+1%2C+0)+and+EGARCH+(1%2C1).%0D%0AThe+results+of+forecasting+for+four+periods+is+very+good+and+all+the+estimation+are+in%0D%0Athe+convidence+interval+95%25.%0D%0AKeywords+%3A+Heteroscedasticity%2C+laverage+effect%2C+EGARCH&rft.publisher=FAKULTAS+MATEMATIKA+DAN+ILMU+PENGETAHUAN+ALAM+&rft.date=2016-08-30&rft.type=Skripsi&rft.type=NonPeerReviewed&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F24071%2F1%2FABSTRACT%2520%2528ABSTRAK%2529.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F24071%2F2%2FSKRIPSI%2520FULL.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F24071%2F3%2FSKRIPSI%2520TANPA%2520BAB%2520PEMBAHASAN.pdf&rft.identifier=++RIYAMA+AMBARWATI%2C+1217031057++(2016)+ANALISIS+DATA+TIME+SERIES+MENGGUNAKAN+MODEL+EXPONENTIAL+GENERALIZED+AUTOREGRESSIVE+CONDITIONAL+HETEROSCEDASTICITY+(EGARCH)+(1%2C1).++FAKULTAS+MATEMATIKA+DAN+ILMU+PENGETAHUAN+ALAM+%2C+UNIVERSITAS+LAMPUNG.+++++&rft.relation=http%3A%2F%2Fdigilib.unila.ac.id%2F24071%2F