Open AccessModeling the stock price returns volatility using GARCH(1,1) in some Indonesia stock prices
Author(s) -
Subhan Ajiz Awalludin,
Syafika Ulfah,
Slamet Soro
Publication year - 2018
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/948/1/012068
Subject(s) - volatility (finance) , forward volatility , econometrics , volatility clustering , economics , volatility risk premium , volatility swap , autoregressive conditional heteroskedasticity , stock (firearms) , implied volatility , financial economics , volatility smile , stochastic volatility , financial models with long tailed distributions and volatility clustering , geography , archaeology