Authors:

SITI RAHAYU NINGSIH, I WAYAN SUMARJAYA, KARTIKA SARI

Abstract:

“In financial data there is asymmetric volatility, which denotes the different movements on conditional volatility of increase and decrease financial asset returns. The exponential GARCH and threshold GARCH models can be used to capture asymmetric volatility, called leverage effect. The aim of this research is to determine the best model between exponential GARCH and threshold GARCH models, and to know the results of forecasting volatility the LQ-45 stock index using the best model. The research showed that the best model to predicting volatility is EGARCH(2,1), because it has the smallest AIC value compared to other models. Then forecasting volatility of the LQ-45 stock index using EGARCH(2,1) showed that volatility increase from the first period until fourteenth period, this means that it has high volatility.”

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PDF:

https://jurnal.harianregional.com/mtk/full-54992

Published

2019-11-30

How To Cite

NINGSIH, SITI RAHAYU; SUMARJAYA, I WAYAN; SARI, KARTIKA. PERAMALAN VOLATILITAS SAHAM MENGGUNAKAN MODEL EXPONENTIAL GARCH DAN THRESHOLD GARCH.E-Jurnal Matematika, [S.l.], v. 8, n. 4, p. 309-315, nov. 2019. ISSN 2303-1751. Available at: https://jurnal.harianregional.com/mtk/id-54992. Date accessed: 28 Aug. 2025. doi:https://doi.org/10.24843/MTK.2019.v08.i04.p270.

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Issue

Vol 8 No 4 (2019)

Section

Articles

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