?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.title=APLIKASI+MODEL+GENERALIZED%0D%0AAUTOREGRESSIVE+CONDITIONAL+HETEROSCHEDASTICITY+(GARCH)%0D%0AUNTUK+MENENTUKAN+VALUE+AT+RISK%0D%0APADA+ANALISIS+RESIKO+INVESTASI&rft.creator=ROHIMATUL+ANWAR%2C++1217031058&rft.subject=Q+Science+(General)&rft.subject=QA+Mathematics&rft.description=Tujuan+dari+penelitian+ini+adalah+untuk+memperoleh+model+time+series%0D%0Aterbaikyaitu+Model+Generalized+Autoregressive+Conditional+Heteroschedasticity%0D%0A(GARCH)%2C+untuk+meramalkan+volatilitas%2C+dan+untuk+menentukan+Value+at+risk%0D%0Apada+Data+Indeks+Harga+Saham+Gabungan+(IHSG)+periode+Januari+2011+hingga%0D%0AFebruari+2016.+Didalam+data+time+series%2C+terkadang+didapat+variansi+yang+tidak%0D%0Akonstan+atau+heteroschedasticity.+Salah+satu+model+untuk+menyelesaikan+kondisi%0D%0Aini+adalah+model+GARCH.+Model+GARCH+dapat+digunakan+untuk+meramalkan%0D%0Avolatilitas.+Berdasarkan+perhitungan+Value+at+Risk%2C+model+GARCH+dapat%0D%0Adigunakan+untuk+mengestimasi+risiko+investasi.+Berdasarkan+hasil+analisis%2C%0D%0Adiperoleh+bahwa+model+terbaik+adalah+ARMA+(2%2C2)%2C+GARCH+(1%2C1)+dan+besarnya%0D%0AValue+at+Risk+pada+tingkat+kepercayaan+95%25+pada+satu+periode+kedepan%2C+dengan%0D%0Amengakarkan+hasil+dari+ramalan+variansinya+diperoleh+peramalan+volatilitas%0D%0Asebesar+0%2C011943077.+Jika+seorang+investor+mengalokasikan+dana+sebesar%0D%0ARp100.000.000%2C00+untuk+berinvestasi+maka+terdapat+5%25+peluang+terjadinya%0D%0Akerugian+yang+melebihi+Rp1.966.458%2C00+selama+24+jam+kedepan.%0D%0AKata+kunci+%3A+Heteroskedasitas%2C+Volatilitas%2C+Value+at+Risk%0D%0A%0D%0AABSTRACT%0D%0A%0D%0AThe+aim+of+this+study+were+to+find+the+best+time+series+model%2C+namely+Generalized%0D%0AAutoregressive+Conditional+Heteroschedasticity+(GARCH)+model%2C+to+avaluate+the%0D%0Aforecast+of+volatility%2C+and+to+determine+the+Value+at+Risk+data+Price+Composite%0D%0AIndex+From+January+2011+to+February+2016.+In+time+series+data%2C+sometimes+the%0D%0Abehaviour+of+variance+of+the+time+series+data+are+not+constant+or%0D%0Aheteroschedasticity.+One+of+the+models+to+deal+with+this+tipe+of+problem%2C+we+can%0D%0Ause+GARCH+model.+GARCH+model+can+be+used+to+forecast+volatility.+Based+on%0D%0Athe+Value+At+Risk%2C+GARCH+model+can+be+used+to+estimate+the+invesment+risk.%0D%0ABased+on+the+analysis%2C+it+was+found+that+the+best+model+is+ARMA+(2%2C2)%2C+GARCH%0D%0A(1%2C1)+and+at+the+level+confidence+interval+95%25+the+Value+at+Risk+on+one+future%0D%0Aperiod+with+multiplying+the+result+of+the+variance+for+forecasting+volatility+it+was%0D%0Afound+that+0%2C011943077.+If+an+investment+give+allocated+funds+of%0D%0ARp100.000.000%2C00+to+invest+as+a+result+there+was+a+5%25+chance+of+occurrence+of%0D%0Alosses+in+excess+of+Rp1.966.458%2C00+during+the+next+24+hours.%0D%0AKeywords%3A+Heteroschedasticity%2C+Volatility%2C+Value+at+Risk&rft.publisher=FAKULTAS+MATEMATIKA+DAN+ILMU+PENGETAHUAN+ALAM&rft.date=2016-08-26&rft.type=Skripsi&rft.type=NonPeerReviewed&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F24073%2F1%2FABSTRAK%2520%2528ABSTRACT%2529.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F24073%2F2%2FSKRIPSI%2520FULL.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F24073%2F3%2FSKRIPSI%2520TANPA%2520BAB%2520PEMBAHASAN.pdf&rft.identifier=++ROHIMATUL+ANWAR%2C+1217031058++(2016)+APLIKASI+MODEL+GENERALIZED+AUTOREGRESSIVE+CONDITIONAL+HETEROSCHEDASTICITY+(GARCH)+UNTUK+MENENTUKAN+VALUE+AT+RISK+PADA+ANALISIS+RESIKO+INVESTASI.++FAKULTAS+MATEMATIKA+DAN+ILMU+PENGETAHUAN+ALAM%2C+UNIVERSITAS+LAMPUNG.+++++&rft.relation=http%3A%2F%2Fdigilib.unila.ac.id%2F24073%2F