?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.title=ANALISIS+MULTIVARIAT+DERET+WAKTU+MENGGUNAKAN%0D%0AMODEL+BEKK(1%2C1)+PADA+DATA+RETURN&rft.creator=Hamid+Ammar+Manshur+Rijal%2C+1317031036&rft.subject=QA+Mathematics&rft.description=Model+Vector+Autoregressive+(VAR)+dalam+beberapa+kasus+akan+ditemui+asumsi%0D%0Ahomoskedestisitas+tidak+terpenuhi.+Kasus+ini+dapat+ditemukan+dalam+studi+finansial%0D%0Adimana+data+deret+waktu+mengalami+fluktuasi+sehingga+varian+dari+error-nya%0D%0Aberubah-ubah+dari+waktu+ke+waktu%2C+maka+perlu+dilakukan+pemodelan+pada%0D%0Avariannya+dengan+Model+Multivariat+Generalized+Autoregressive+Conditional%0D%0AHeteroschedasticity+(GARCH).+Salah+satu+bentuk+model+Multivariat+GARCH%0D%0Aadalah+Model+BEKK+(Baba%2C+Engle%2C+Kraft+dan+Kroner)+yang+dikembangkan+oleh%0D%0AEngle+dan+Kroner+tahun+1995.+Tujuan+dari+penelitian+ini+adalah+mendapatkan+model%0D%0ABEKK+terbaik+dan+meramalkan+data+bulanan+Indeks+Harga+Saham+Gabungan%0D%0A(IHSG)+Indonesia%2C+Kurs+Rupiah+terhadap+Dolar+dan+Saham+PT.+Bukit+Asam+Tbk.%0D%0AModel+terbaik+yang+didapatkan+dalam+penelitian+ini+adalah+model+VAR(1)+dan%0D%0Amodel+BEKK(1%2C1).+Hasil+peramalan+untuk+empat+bulan+periode+selanjutnya+berada%0D%0Apada+selang+kepercayaan+95+%25.%0D%0AKata+Kunci+%3A+Heteroskedestiditas%2C+VAR%2C+BEKK%0D%0AIn+some+cases%2C+the+assumption+of+homoscedasticity+in+the+Vector+Autoregressive%0D%0AModel+(VAR)+are+not+satisfied.+This+case+can+be+found+in+financial+studies+which%0D%0Aare+shown+that+data+of+time-series+fluctuate+so+that+the+variance+of+the+error+changes%0D%0Afrom+time+to+time%2C+it+is+necessary+to+model+the+variance+with+the+Multivariate%0D%0AGeneralized+Autoregressive+Conditional+Heteroscedasticity+(GARCH)+model.+One%0D%0Aform+of+the+GARCH+Multivariate+model+is+the+BEKK+Model+(Baba%2C+Engle%2C+Kraft%2C%0D%0Aand+Kroner)+developed+by+Engle+and+Kroner+in+1995.+The+purpose+of+this+study+is%0D%0Ato+obtain+the+best+BEKK+model+and+forecast+monthly+data+on+the+Indonesian+Jakarta%0D%0AComposite+Index+(JKSE)%2C+Exchange+Rate+Rupiah-Dollars+and+Shares+of+PT.+Bukit%0D%0AAsam+Tbk.+The+best+models+obtained+in+this+study+are+the+VAR(1)+model+and+the%0D%0ABEKK(1%2C1)+model.+Forecasting+results+for+the+next+four+months+are+at+a+95%25%0D%0Aconfidence+interval.%0D%0AKeywords+%3A+Heteroscedasticity%2C+VAR%2C+BEKK&rft.publisher=FAKULTAS+MATEMATIKA+DAN+ILMU+PENGETAHUAN+ALAM&rft.date=2019&rft.type=Skripsi&rft.type=NonPeerReviewed&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F54982%2F1%2FABSTRAK.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F54982%2F2%2FSKRIPSI%2520FULL.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F54982%2F3%2FSKRIPSI%2520TANPA%2520BAB%2520PEMBAHASAN.pdf&rft.identifier=++Hamid+Ammar+Manshur+Rijal%2C+1317031036++(2019)+ANALISIS+MULTIVARIAT+DERET+WAKTU+MENGGUNAKAN+MODEL+BEKK(1%2C1)+PADA+DATA+RETURN.++FAKULTAS+MATEMATIKA+DAN+ILMU+PENGETAHUAN+ALAM%2C+UNIVERSITAS+LAMPUNG.+++++&rft.relation=http%3A%2F%2Fdigilib.unila.ac.id%2F54982%2F