?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.title=ANALISIS+DATA+RETURN+SAHAM+MENGGUNAKAN+MODEL+DYNAMIC+CONDITIONAL+CORRELATION-GENERALIZED+AUTOREGRESSIVE+HETEROSCEDATIC%0D%0A(DCC-GARCH)+(1%2C1)&rft.creator=Dea+Elizabet+Sirait%2C+1417031039&rft.subject=Q+Science+(General)&rft.subject=QA+Mathematics&rft.description=Perilaku+data+runtun+waktu+finansial+multivariat+pasti+memiliki+volatilitas+yang+tinggi+dan+ragam+yang+heterogen%2C+khususnya+pada+data+return.+Selain+ragam+yang+heterogen%2C+hal+yang+tidak+dapat+dihindari+adalah+korelasi+antar+variabel+dan+waktu.+Sehingga+untuk+mengatasi+hal+tersebut+salah+satu+model+MGARCH+yaitu+DCC-GARCH+(1%2C1)+dianggap+paling+baik+dalam+pemodelannya.+Hal+ini+didasarkan+ide+dasar+model+DCC-GARCH+(1%2C1)+memiliki+ide+dasar+yaitu+varians+dan+korelasi+bersyarat+sehingga+model+ini+yaitu+memodelkan+varians+dan+korelasi+bersyarat+untuk+mengatasi+dinamika+asimetris+volatilitas.+Tujuan+penelitian+ini+adalah+mendapatkan+model+DCC-GARCH+(1%2C1)+dan+untuk+meramalkan+data+return+harian+tiga+saham+yaitu+PT.+Bank+Negara+Indonesia+Tbk.%2C+PT.+Bank+Rakyat+Indonesia+Tbk.%2C+dan+Bank+Mandiri+Tbk.+dari+Februari+2010+hingga+Agustus+2017.+Model+yang+didapat+adalah+VAR+(1)+dan+DCC-GARCH+(1%2C1).+Hasil+ramalan+untuk+20+periode+berikutnya+cukup+baik+dam+semua+nilai+berada+didalam+interval+konfidensi+95%25.%0D%0AKata+kunci%3A+heteroskedatisitas%2C+volatilitas%2C+DCC-GARCH+(1%2C1)%0D%0A%0D%0A%0D%0A%0D%0Aabstract%0D%0A%0D%0AMultivariate+financial+time+series+data+usually+have+high+volatility+and+heterogeneous+variation%2C+especially+in+data+of+stock+return.+Besides+of+heterogeneous+variety%2C+the+unavoidable+thing+is+the+correlation+between+variables+and+time.+So+to+overcome+this%2C+one+of+the+MGARCH+model+DCC-GARCH+(1%2C1)+is+considered+the+best+to+overcome+it.+This+model+considered+the+best+because+the+basic+idea+of+DCC-GARCH+(1%2C1)+is+to+model+the+variance+and+conditional+correlation+on+time+variable+so+it+is+posible+to+overcome+the+asymmetric+dynamics+of+volatility+.+The+purpose+of+this+research+is+to+get+DCC-GARCH+(1%2C1)+model+and+to+forecast+return+daily+data+return+of+three+stocks+namely+PT.+Bank+Negara+Indonesia+Tbk.%2C+PT.+Bank+Rakyat+Indonesia+Tbk.%2C+and+PT.+Bank+Mandiri+Tbk.+from+February+2010+to+August+2017.+The+best+model+of+the+data+is+VAR+(1)+and+DCC-GARCH+(1%2C1).+Forecast+results+for+the+next+20+periods+are+good+enough+and+all+values+are+within+the+confidential+interval+95%25.+Key+words%3A+heteroscedasticity%2C+volatility%2C+DCC-GARCH+(1%2C1)&rft.publisher=UNIVERSITAS+LAMPUNG&rft.date=2018-03-07&rft.type=Skripsi&rft.type=NonPeerReviewed&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F30818%2F1%2FABSTRAK.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F30818%2F3%2FSKRIPSI%2520FULL.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F30818%2F2%2FSKRIPSI%2520TANPA%2520BAB%2520PEMBAHASAN.pdf&rft.identifier=++Dea+Elizabet+Sirait%2C+1417031039++(2018)+ANALISIS+DATA+RETURN+SAHAM+MENGGUNAKAN+MODEL+DYNAMIC+CONDITIONAL+CORRELATION-GENERALIZED+AUTOREGRESSIVE+HETEROSCEDATIC+(DCC-GARCH)+(1%2C1).++UNIVERSITAS+LAMPUNG%2C+FAKULTAS+MATEMATIKA+DAN+ILMU+PENGETAHUAN+ALAM.+++++&rft.relation=http%3A%2F%2Fdigilib.unila.ac.id%2F30818%2F