Open AccessPERSAMAAN DIFERENSIAL ORNSTEIN-UHLENBECK DALAM PERAMALAN HARGA SAHAM
Author(s) -
Amam Taufiq Hidayat,
Subanar Subanar
Publication year - 2020
Publication title -
media statistika
Language(s) - English
Resource type - Journals
ISSN - 2477-0647
DOI - 10.14710/medstat.13.1.60-67
Subject(s) - ornstein–uhlenbeck process , geometric brownian motion , mathematics , brownian motion , poisson distribution , volatility (finance) , econometrics , statistical physics , stochastic process , economics , physics , diffusion process , statistics , economy , service (business)
Geometric Brownian motion is one of the most widely used stock price model. One of the assumptions that is filled with stock return volatility is constant. Gamma Ornstein-Uhlenbeck process a model to describe volatility in finance. Additionally, Gamma Ornstein-Uhlenbeck process driven by Background Driving Levy Process (BDLP) compound Poisson process and the marginal law of volatility follows a Gamma distribution. Barndorff-Nielsen and Shepard (BNS) Gamma Ornstein-Uhlenbeck model can to sample the process for the stock price with volatility follows Gamma Ornstein-Uhlenbeck process. Based on these, the simulation result are compared BNS Gamma Ornstein-Uhlenbeck model with geometric Brown motion for Standard and Poor (SP) 500 stock data. Simulation result give BNS Gamma Ornstein-Uhlenbeck model and Geometric Brownian motion a Root Mean Square Error (RMSE) are 0,13 and 0,24 respectively. These result indicate that the BNS Gamma Ornstein-Uhlenbeck model gives a more accurate than Geometric Brownian motion