ANALISIS MODEL THRESHOLD GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTIC (TGARCH) PADA PERAMALAN HARGA SAHAM BANK RAKYAT INDONESIA (BRI) PERSERO

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.

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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

Item Type: Other
Subjects: ?? 500 ??
?? 510 ??
Divisions: Fakultas MIPA > Prodi Matematika
Depositing User: A.Md Cahya Anima Putra .
Date Deposited: 05 Feb 2025 08:58
Last Modified: 05 Feb 2025 08:58
URI: http://digilib.unila.ac.id/id/eprint/82254

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