?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.title=PENERAPAN+MODEL+EXPONENTIAL+GENERALIZED%0D%0AAUTOREGRESSIVE+CONDITIONAL+HETEROSCEDASTICITY%0D%0A(EGARCH)+PADA+DATA+RETURN+SAHAM+BANK+NEGARA%0D%0AINDONESIA+TBK.+TAHUN+2014-2017&rft.creator=EKY+AMBARWATI%2C+1317031031&rft.subject=510+Matematika&rft.description=The+EGARCH+model+is+a+model+used+to+predict+time+series+data+with+a+variety+of%0D%0Aerrors+in+heterogeneous+data+and+has+asymmetric+data.+One+of+the+data+cases+that%0D%0Ahave+asymmetrical+nature+is+the+return+of+Bank+Negara+Indonesia+Tbk.+stock+data%0D%0Aduring+the+period+of+May+2014+to+October+2017.+The+study+was+conducted+by%0D%0Amodelling+the+data+into+the+ARMA%2C+GARCH%2C+and+EGARCH+models+and+then%0D%0AModel+EGARCH+merupakan+model+yang+digunakan+untuk+meramalkan+data+deret%0D%0Awaktu+dengan+ragam+galat+pada+data+bersifat+heterogen+dan+data+yang+asimetris.%0D%0ASalah+satu+kasus+data+yang+memiliki+sifat+asimetris+adalah+data+return+saham+Bank%0D%0ANegara+Indonesia+Tbk.+selama+periode+Mei+2014+sampai+Oktober+2017.+Penelitian%0D%0Adilakukan+dengan+memodelkan+data+ke+dalam+model+ARMA%2C+GARCH%2C+dan%0D%0AEGARCH+kemudian+dipilih+model+dengan+P-value+yang+signifikan+dan+nilai+SC%0D%0Aterkecil+untuk+mendapatkan+model+EGARCH+terbaik+untuk+data+return+saham%0D%0ABank+Negara+Indonesia+Tbk.+guna+meramalkan+nilai+return+saham+pada+periode%0D%0Aselanjutnya.+Hasil+dari+penelitian+menunjukkan+persamaan+ragam+(%0D%0A%0D%0A)%0D%0A+%7C%0D%0A%0D%0A%E2%88%9A%0D%0A%0D%0A%7C%0D%0A%E2%88%9A%0D%0A%0D%0A.%0D%0AKata+kunci%3A+Deret+waktu%2C+ARIMA%2C+ARCH%2C+GARCH%2C+efek+asimetris%2C+EGARCH%0D%0Achoosing+a+model+with+a+significant+P-value+and+SC+value+selected+to+obtain+the%0D%0Abest+EGARCH+model+for+returning+Bank+Negara+Indonesia+Tbk.+stock+data+to%0D%0Apredict+the+value+of+stock+returns+in+the+next+period.+Results+of+the+research+show%0D%0Athat+the+variance+equation+(%0D%0A%0D%0A)+%7C%0D%0A%0D%0A%E2%88%9A%0D%0A%0D%0A%7C%0D%0A%0D%0A%E2%88%9A%0D%0A%0D%0A.%0D%0AKeywords%3A+Time+series%2C+ARIMA%2C+ARCH%2C+GARCH%2C+Asymmetric+Effect%2C%0D%0AEGARCH&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%2F59281%2F1%2FABSTRAK.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F59281%2F2%2FSKRIPSI%2520FULL.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F59281%2F3%2FSKRIPSI%2520TANPA%2520BAB%2520PEMBAHASAN.pdf&rft.identifier=++EKY+AMBARWATI%2C+1317031031++(2019)+PENERAPAN+MODEL+EXPONENTIAL+GENERALIZED+AUTOREGRESSIVE+CONDITIONAL+HETEROSCEDASTICITY+(EGARCH)+PADA+DATA+RETURN+SAHAM+BANK+NEGARA+INDONESIA+TBK.+TAHUN+2014-2017.++FAKULTAS+MATEMATIKA+DAN+ILMU+PENGETAHUAN+ALAM%2C+UNIVERSITAS+LAMPUNG.+++++&rft.relation=http%3A%2F%2Fdigilib.unila.ac.id%2F59281%2F