Open AccessPermodelan GARCH pada IHSG dan Indeks LQ45
Author(s) -
R. Adisetiawan,
Nuraini Nuraini,
Hana Tamara Putri,
Ahmadi Ahmadi
Publication year - 2021
Publication title -
jurnal manajemen dan sains
Language(s) - English
Resource type - Journals
eISSN - 2541-688X
pISSN - 2541-6243
DOI - 10.33087/jmas.v6i2.307
Subject(s) - autoregressive conditional heteroskedasticity , univariate , econometrics , volatility (finance) , heteroscedasticity , index (typography) , economics , stock (firearms) , market liquidity , stock market index , statistics , financial economics , mathematics , monetary economics , stock market , computer science , geography , multivariate statistics , context (archaeology) , archaeology , world wide web
ARCH and GARCH models are widely used to describe the form of volatility of a heteroskedastic time series data. Volatility is a measure of how far a stock price or stock price index moves in a given period. The LQ45 Index is an index that measures the performance of stocks of various companies that are operationally for the types of stocks that have high liquidity. The stock price index used is the LQ45 index for the period 2016.09-2021.09. The return of the stock price index is modeled in the best form of GARCH univariate. Research shows that the best GARCH univariate model is EGARCH (3,3).