title: ANALISIS MODEL THRESHOLD GENERALIZED AUTOREGRESSIVE  CONDITIONAL HETEROSCEDASTIC (TGARCH) PADA PERAMALAN  HARGA SAHAM BANK RAKYAT INDONESIA (BRI) PERSERO
creator: Muhammad , Farhan SY
subject: 500 ilmu pengetahuan alam dan matematika
subject: 510 Matematika
description: Harga saham adalah jenis data dengan volatilitas tinggi, yang menyebabkan adanya  pengaruh heteroskedastitas. Untuk meramalkan data dengan voltilitas tinggi, model  Box-Jenkins ataupun model ARCH dan GARCH tidak dapat digunakan karena  tidak mampu mengatasi efek asimetris. Oleh karena itu, penelitian ini menggunakan  model TGARCH pada data harga saham yang memiliki volatilitas tinggi.  Hasil penelitian menunjukkan bahwa model terbaik dari data harga saham Bank  Rakyat Indonesia (BRI) Persero adalah model TGARCH(1,0,1) dengan persamaan  rata-rata Yt = 0.0002 + 0.0324et−1 + et    , dan persamaan ragam σt    2 = (0.0002 −    et  2  ) + ∑ 0.0324(et−j  2 + et−j  −2  )    q  1    .    Kata kunci: harga saham, volatilitas, efek asimetris, model TGARCH    Stock prices are a type of data with high volatility, which causes heteroscedasticity  effects. To forecast a data with such high volatility, using the Box-Jenkins model  or the ARCH and GARCH models are not viable because they are unable to address  the asymmetric effects. Therefore, in this research, we uses the TGARCH model  on the stock price data with high volatility.  The research showed that the best model for the stock price data of Bank Rakyat  Indonesia (BRI) Persero is the TGARCH(1,0,1) model, with the equation of mean  Yt = 0.0002 + 0.0324et−1 + et    , and the equation of variance σt    2 = (0.0002 −    et  2  ) + ∑ 0.0324(et−j  2 + et−j  −2  )    q  1    .    Key words: stock prices, volatility, asymmetric effects, TGARCH model  
publisher: FAKULTAS MATEMATIKA DAN ILMU PENGETAHUAN ALAM
date: 2024-07-10
type: Skripsi
type: NonPeerReviewed
format: text
identifier: http://digilib.unila.ac.id/82254/1/1817031060%20-%20Muhammad%20Farhan%20SY%20%28Abstrak%20Skripsi%29%20-%20Farhan%20Suyitno.pdf
format: text
identifier: http://digilib.unila.ac.id/82254/2/1817031060%20-%20Muhammad%20Farhan%20SY%20%28Skripsi%29%20-%20Farhan%20Suyitno.pdf
format: text
identifier: http://digilib.unila.ac.id/82254/3/1817031060%20-%20Muhammad%20Farhan%20SY%20%28Skripsi%20Tanpa%20Pembahasan%29%20-%20Farhan%20Suyitno.pdf
identifier:   Muhammad , Farhan SY  (2024) ANALISIS MODEL THRESHOLD GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTIC (TGARCH) PADA PERAMALAN HARGA SAHAM BANK RAKYAT INDONESIA (BRI) PERSERO.  FAKULTAS MATEMATIKA DAN ILMU PENGETAHUAN ALAM, UNIVERSITAS LAMPUNG.     
relation: http://digilib.unila.ac.id/82254/