Open AccessPERAMALAN VOLATILITAS RETURN SAHAM MENGGUNAKAN METODE ASYMMETRIC POWER ARCH (APARCH)
Author(s) -
JUITA HARYATI SIDADADOLOG,
I Wayan Sumarjaya,
Ni Ketut Tari Tastrawati
Publication year - 2020
Publication title -
e-jurnal matematika
Language(s) - English
Resource type - Journals
ISSN - 2303-1751
DOI - 10.24843/mtk.2020.v09.i03.p293
Subject(s) - volatility (finance) , leverage effect , econometrics , economics , heteroscedasticity , autoregressive conditional heteroskedasticity , leverage (statistics) , mathematics , statistics
Model APARCH is one of the asymmetric GARCH models. These models are able to capture the incidence of good news and bad news in the volatility. The APARCH model has an asymmetric coefficient to cope with leverage effect by modeling a leverage that has heteroscedasticity and asymmetric effect condition. The results of this research were obtained by the appropriate APARCH model. The model is the APARCH(1,2) model because all parameters are significant. Thus, proceeds from the volatility of stock return for the next 14 days with the model volatility APARCH(1,2) increased from period one to period fourteen.