<> "The repository administrator has not yet configured an RDF license."^^ . <> . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI"^^ . "Tujuan dari penelitian ini adalah untuk memperoleh model time series\r\nterbaikyaitu Model Generalized Autoregressive Conditional Heteroschedasticity\r\n(GARCH), untuk meramalkan volatilitas, dan untuk menentukan Value at risk\r\npada Data Indeks Harga Saham Gabungan (IHSG) periode Januari 2011 hingga\r\nFebruari 2016. Didalam data time series, terkadang didapat variansi yang tidak\r\nkonstan atau heteroschedasticity. Salah satu model untuk menyelesaikan kondisi\r\nini adalah model GARCH. Model GARCH dapat digunakan untuk meramalkan\r\nvolatilitas. Berdasarkan perhitungan Value at Risk, model GARCH dapat\r\ndigunakan untuk mengestimasi risiko investasi. Berdasarkan hasil analisis,\r\ndiperoleh bahwa model terbaik adalah ARMA (2,2), GARCH (1,1) dan besarnya\r\nValue at Risk pada tingkat kepercayaan 95% pada satu periode kedepan, dengan\r\nmengakarkan hasil dari ramalan variansinya diperoleh peramalan volatilitas\r\nsebesar 0,011943077. Jika seorang investor mengalokasikan dana sebesar\r\nRp100.000.000,00 untuk berinvestasi maka terdapat 5% peluang terjadinya\r\nkerugian yang melebihi Rp1.966.458,00 selama 24 jam kedepan.\r\nKata kunci : Heteroskedasitas, Volatilitas, Value at Risk\r\n\r\nABSTRACT\r\n\r\nThe aim of this study were to find the best time series model, namely Generalized\r\nAutoregressive Conditional Heteroschedasticity (GARCH) model, to avaluate the\r\nforecast of volatility, and to determine the Value at Risk data Price Composite\r\nIndex From January 2011 to February 2016. In time series data, sometimes the\r\nbehaviour of variance of the time series data are not constant or\r\nheteroschedasticity. One of the models to deal with this tipe of problem, we can\r\nuse GARCH model. GARCH model can be used to forecast volatility. Based on\r\nthe Value At Risk, GARCH model can be used to estimate the invesment risk.\r\nBased on the analysis, it was found that the best model is ARMA (2,2), GARCH\r\n(1,1) and at the level confidence interval 95% the Value at Risk on one future\r\nperiod with multiplying the result of the variance for forecasting volatility it was\r\nfound that 0,011943077. If an investment give allocated funds of\r\nRp100.000.000,00 to invest as a result there was a 5% chance of occurrence of\r\nlosses in excess of Rp1.966.458,00 during the next 24 hours.\r\nKeywords: Heteroschedasticity, Volatility, Value at Risk"^^ . "2016-08-26" . . . . . "FAKULTAS MATEMATIKA DAN ILMU PENGETAHUAN ALAM"^^ . . . . . . . " 1217031058"^^ . "ROHIMATUL ANWAR"^^ . " 1217031058 ROHIMATUL ANWAR"^^ . . . . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (File PDF)"^^ . . . "ABSTRAK (ABSTRACT).pdf"^^ . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (File PDF)"^^ . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (File PDF)"^^ . . . "SKRIPSI TANPA BAB PEMBAHASAN.pdf"^^ . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "lightbox.jpg"^^ . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "preview.jpg"^^ . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "medium.jpg"^^ . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "small.jpg"^^ . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "indexcodes.txt"^^ . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "indexcodes.txt"^^ . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "lightbox.jpg"^^ . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "preview.jpg"^^ . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "medium.jpg"^^ . . . "APLIKASI MODEL GENERALIZED\r\nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH)\r\nUNTUK MENENTUKAN VALUE AT RISK\r\nPADA ANALISIS RESIKO INVESTASI (Other)"^^ . . . . . . "small.jpg"^^ . . "HTML Summary of #24073 \n\nAPLIKASI MODEL GENERALIZED \nAUTOREGRESSIVE CONDITIONAL HETEROSCHEDASTICITY (GARCH) \nUNTUK MENENTUKAN VALUE AT RISK \nPADA ANALISIS RESIKO INVESTASI\n\n" . "text/html" . . . "Q Science (General)"@en . . . "QA Mathematics"@en . .