?url_ver=Z39.88-2004&rft_id=1817031081&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.title=PERAMALAN+VOLATILITAS+RETURN+SAHAM+PT+BUKIT+ASAM+TBK%0D%0AMENGGUNAKAN+MODEL+GLOSTEN+JAGANNATHAN+RUNKLE%0D%0AGENERALIZED+AUTOREGRESSIVE+CONDITIONAL%0D%0AHETEROSCEDASTICITY+(GJR-GARCH)&rft.creator=AFRIANDY+%2C+HASYA&rft.subject=510+Matematika&rft.description=Data+deret+waktu+seringkali+bersifat+acak+dan+bervariasi%2C+sehingga+terjadi%0D%0Aheteroskedastisitas.+Dalam+setiap+penelitian%2C+selalu+ada+asimetri.+Asimetri%0D%0Abiasanya+terjadi+karena+perbedaan+antara+perubahan+harga+dan+nilai+volatilitas.%0D%0Avolatility+adalah+ukuran+tingkat+fluktuasi+harga+sekuritas+dari+waktu+ke+waktu.+Ini%0D%0Amenunjukkan+tingkat+risiko+yang+terkait+dengan+perubahan+harga+sekuritas.%0D%0ASehingga+pada+penelitian+ini+digunakan+model+GJR+-+GARCH+(Glosten+-%0D%0AJagannathan+-+Runkle-+Generalized+Autoregressive+Conditional%0D%0AHeteroskedasticity)+untuk+mengatasi+adanya+respon+asimetris.+Model+Glosten+-%0D%0AJagannathan+-+Runkle+(GJR)+merupakan+salah+satu+model+deret+waktu+Conditional%0D%0Adari+model+Generalized+Autoregressive+pengembangan+Heteroskedasticity%0D%0A(GARCH).+Tujuan+dalam+penelitian+ini+untuk+meramalkan+data+return+penutupan%0D%0Aharga+saham+PT+Bukit+Asam+(PTBA)+Tbk.+dengan+menggunakan+model+GJR+-%0D%0AGARCH+(1%2C0)+dengan+menghasilkan+nilai+peramalan+harga+saham+yang+cenderung%0D%0Akonstan.%0D%0AKata+kunci+%3A+asimetris%2Cheteroskedastisitas%2Cgarch%2Cgjr-garch.%0D%0A%0D%0A%0D%0ATime+series+data+are+often+random+and+varied%2C+resulting+in+heteroscedasticity.+In%0D%0Aevery+research%2C+there+is+always+an+asymmetry.+The+asymmetry+usually+occurs%0D%0Abecause+of+the+difference+between+the+price+change+and+the+volatility+value.%0D%0Avolatility+is+a+measure+of+the+rate+of+fluctuation+in+a+security's+price+over+time.+It%0D%0Ashows+the+level+of+risk+associated+with+changes+in+the+security's+price.%0D%0ASo+in+this+study+the+GJR-GARCH+(Glosten-Jagannathan-Runkle-Generalized%0D%0AAutoregressive+Conditional+Heteroskedasticity)+model+was+used+to+overcome+the%0D%0Aasymmetric+response.+The+Glosten+-+Jagannathan+-+Runkle+(GJR)+model+is+one+of%0D%0Athe+Conditional+time+series+models+of+the+Generalized+Autoregressive%0D%0AHeteroskedasticity+(GARCH)+development+model.+The+purpose+of+this+research+is%0D%0Ato+predict+the+closing+return+data+for+the+PT+Bukit+Asam+(PTBA)+Tbk+stock+price.%0D%0Aby+using+the+GJR-GARCH+model+(1.0)+to+produce+a+stock+price+forecasting+value%0D%0Athat+tends+to+be+constant.%0D%0AKey+words+%3A+asymmetric%2Cheteroscedasticity%2Cgarch%2Cgjr-garch.%0D%0A&rft.publisher=FAKULTAS+MATEMATIKA+DAN+ILMU+PENGETAHUAN+ALAM&rft.date=2023-02-06&rft.type=Skripsi&rft.type=NonPeerReviewed&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F70047%2F1%2FABSTRAK.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F70047%2F2%2FSKRIPSI%2520FULL.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F70047%2F3%2FSKRIPSI%2520TANPA%2520BAB%2520PEMBAHASAN.pdf&rft.identifier=++AFRIANDY+%2C+HASYA++(2023)+PERAMALAN+VOLATILITAS+RETURN+SAHAM+PT+BUKIT+ASAM+TBK+MENGGUNAKAN+MODEL+GLOSTEN+JAGANNATHAN+RUNKLE+GENERALIZED+AUTOREGRESSIVE+CONDITIONAL+HETEROSCEDASTICITY+(GJR-GARCH).++FAKULTAS+MATEMATIKA+DAN+ILMU+PENGETAHUAN+ALAM%2C+UNIVERSITAS+LAMPUNG.+++++&rft.relation=http%3A%2F%2Fdigilib.unila.ac.id%2F70047%2F