Authors:

VIKY AMELIAH, KOMANG DHARMAWAN, I NYOMAN WIDANA

Abstract:

“In making stock investments, investors usually pay attention to the rate of return and risk of the stock investment. To calculate risk using capital asset pricing model (CAPM), GARCH, and EGARCH. The data used in this study is secondary data in the form of daily closing price (daily close price), JII price index and monthly SBI rate. All data were processed using matlab 13. The research sample consisted of 6 flagship shares for the period of 2013-2017 ie ADHI, SMGR, UNTR, BSDE, ICBP, KLBF. The conclusion of the research is the beta of each stock including aggressive beta because beta greater than 1. For return CAPM GARACH and CAPM EGARCH obtained Kalbe Farma stock (KLBF) has small beta and big return means GARCH and EGARCH model equally Can predict that stock KLBF shares the least risk and large returns among the six stocks.”

Keywords

Keyword Not Available

Downloads:

Download data is not yet available.

References

References Not Available

PDF:

https://jurnal.harianregional.com/mtk/full-33140

Published

2017-11-28

How To Cite

AMELIAH, VIKY; DHARMAWAN, KOMANG; WIDANA, I NYOMAN. MEMBANDINGKAN RISIKO SISTEMATIS MENGGUNAKAN CAPM-GARCH DAN CAPM-EGARCH.E-Jurnal Matematika, [S.l.], v. 6, n. 4, p. 241-247, nov. 2017. ISSN 2303-1751. Available at: https://jurnal.harianregional.com/mtk/id-33140. Date accessed: 28 Aug. 2025. doi:https://doi.org/10.24843/MTK.2017.v06.i04.p172.

Citation Format

ABNT, APA, BibTeX, CBE, EndNote - EndNote format (Macintosh & Windows), MLA, ProCite - RIS format (Macintosh & Windows), RefWorks, Reference Manager - RIS format (Windows only), Turabian

Issue

Vol 6 No 4 (2017)

Section

Articles

Creative Commons License This work is licensed under a Creative Commons Attribution 4.0 International License