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Journal : Nusantara Science and Technology Proceedings

Modelling of Return of S&P 500 Using the Non Linear Generalized Autoregressive Conditional Heteroscedasticity (NGARCH) Model Trimono, Trimono; Damaliana, Aviolla Terza; Putri, Irma Amanda
Nusantara Science and Technology Proceedings 8th International Seminar of Research Month 2023
Publisher : Future Science

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.11594/nstp.2024.4110

Abstract

ARIMA Box-Jenkins is one of the most popular forecasting methods. ARIMA modeling requires a non-heteroskedastic care that shows constant residual variants. Awake, meaning residual residue from heteroscedastic ARIMA modeling (not constant). To overcome the problem of residual heteroskedasticity ARIMA used modeling volatility that is Generalized Autoregressive Conditional Heteroscedasticity (GARCH). GARCH is used to model the ARIMA residual variant which means symmetric. Some financial data has an asymmetric nature caused by the influence of good news and bad news. To accommodate these asymmetric properties, we use the Non-Linear Generalized Autoregressive Conditional Heteroscedasticity (NGARCH) volatility model which is the development of the GARCH model. This research applies NGARCH model using S & P 500 share price index data from January 1, 2019, until July 31, 2023 during active day (Monday-Friday). The purpose of this study, to find the best model NGARCH. The best model generated for S & P 500 stock price index data is ARIMA (1,0,1) NGARCH (1,1) because it has small AIC.
Co-Authors Abda Abda Abdullah Abdullah Adam, Cindi Ade Irma Agustian Adiwidyatma, Afdhal Reshanda Aliya Dasa Pramesthi Amanillah, Rahmatul Ardiani, Ardia Eva Arif, Farah Yusnaida Arifta, Septia Dini Aurelia, Cenditya Ayu Aviolla Terza Damaliana Awang, Wan Suryani Wan Aziziyah, Luqna Azni Aisyah Azzahra, Adelia Ramadhina Bainar Bainar, Bainar Bey Lirna, Cagiva Chaedar Carissa, Savvy Prissy Amellia Damaliana, Aviolla Terza Dewi, Ni Luh Ayu Nariswari Di Asih I Maruddani Di Asih I Maruddani Diash, Hakam Dzakwan Diyasa, I Gede Susrama Mas Dwi Arman Prasetya Fahrudin, Tresna Maulana Fairuz Luthfia Winoto Putri, Maretta Febri Giantara Febriyanti, Alvi Yuana Febyanti, Iin Fitriani, Aulia Nur Hadi, Surjo Hadiyan Pradipta, Alvino Hasan Herlina Herlina Hervrizal, Hervrizal Hindrayani, Kartika Maulida I Gede Susrama Mas Diyasa Icha Rohmatul Jannah idhom, Mohammad Ikaningtyas, Maharani Irawan, Tanaya Anindita Kartini Kartini Kassim, Anuar bin Mohamed Khairunisa, Adenda Khosyi, Hanun Aufa Nur Kusdani, Kusdani Kuswardana, Dendy Arizki Linggasari, Dienna Eries Lisanthoni, Angela Maruddani, Di Asih Mas Diyasa, I Gede Susrama Mas Diyasa, I Gede Susrama Susrama Maulana Pasha, Naufal Ricko Maulidiyyah, Nova Auliyatul Mohammad Idhom Muhaimin, Amri Nabila, Nasywa Azzah Nafiah, Fajria Ulumin Nariyana, Calvien Danny Nasution, Baktiar Nathania, Vannesa Ningrum, Imelda Widya Ningtiyas, Rona Wulan Novita Anggraini Nugraheni, Setiawati Oktaviani, Sheny Eka Panglima, Talitha Fujisai Prisma Hardi Aji Riyantoko Putra, Andrawana Putri Ariyani, Kinanthi Putri, Irma Amanda Putri, Nabila Rizky Amalia Rafiqah, Lailan Rafli Feandika Nugroho, Muhammad Ratna Yulistiani Renaldi, Sahat Rhomaningtias, Lina Riswanda, Mohammad Nizar Riyantoko, Prismahardi Aji Ryan Dana, Alvin Sabela, Sefilah Naurah Safira Devi, Arsita Safira, Alya Mirza Salma Namira, Alivia Saputra, Wahyu Syaifullah Jauharis Sihananto, Andreas Sonhaji, Abdulah Sugiarti, Nova Putri Dwi Suprapto, Rheinka Elyana Susrama Mas Diyasa , I Gede Syamsul Rizal Syukri Syukri Tarno Tarno Taufik, Ikbar Athallah Terza Damaliana, Aviolla Utami, Rianti Siswi Utriweni Mukhaiyar Valentina, Tiara Wardah Ariij Adibah Wardah, Salsabila Wibowo, Muhammad Bagas Satrio Widayawati, Eny Widison, Daffin Tanjiro Yuciana Wilandari yuliza, eva Zalfa Assyadida, Azizah