Pemodelan Data Time Series Garch(1,1) Untuk Pasar Saham Indonesia | Zendy

Elfa Rafulta | Zendy; Roni Putra | Zendy

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Pemodelan Data Time Series Garch(1,1) Untuk Pasar Saham Indonesia

Author(s) -

Elfa Rafulta,

Roni Putra

Publication year - 2015

Publication title -

jurnal ilmiah poli rekayasa

Language(s) - English

Resource type - Journals

eISSN - 2685-3922

pISSN - 1858-3709

DOI - 10.30630/jipr.11.1.15

Subject(s) - autoregressive conditional heteroskedasticity , autoregressive model , econometrics , series (stratigraphy) , stock (firearms) , stock market , time series , financial economics , economics , computer science , mathematics , statistics , geography , volatility (finance) , geology , paleontology , context (archaeology) , archaeology

This paper introduced a method pengklusteran for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data.

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