creators_name: Muhammad , Farhan SY
creators_id: 1817031060
type: other
datestamp: 2025-02-05 08:58:54
lastmod: 2025-02-05 08:58:54
metadata_visibility: show
title: ANALISIS MODEL THRESHOLD GENERALIZED AUTOREGRESSIVE
CONDITIONAL HETEROSCEDASTIC (TGARCH) PADA PERAMALAN
HARGA SAHAM BANK RAKYAT INDONESIA (BRI) PERSERO
ispublished: pub
subjects: 500
subjects: 510
full_text_status: restricted
abstract: 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

date: 2024-07-10
date_type: published
publisher: FAKULTAS MATEMATIKA DAN ILMU PENGETAHUAN ALAM
place_of_pub: UNIVERSITAS LAMPUNG
citation:   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.     
document_url: http://digilib.unila.ac.id/82254/1/1817031060%20-%20Muhammad%20Farhan%20SY%20%28Abstrak%20Skripsi%29%20-%20Farhan%20Suyitno.pdf
document_url: http://digilib.unila.ac.id/82254/2/1817031060%20-%20Muhammad%20Farhan%20SY%20%28Skripsi%29%20-%20Farhan%20Suyitno.pdf
document_url: http://digilib.unila.ac.id/82254/3/1817031060%20-%20Muhammad%20Farhan%20SY%20%28Skripsi%20Tanpa%20Pembahasan%29%20-%20Farhan%20Suyitno.pdf