Open AccessPemodelan 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.