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Imelda Saluza, Imelda
Universitas Indo Global Mandiri
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Journal : Jurnal Matematika

 1 
Aplikasi GARCH dalam Mengatasi Volatilitas Pada Data Keuangan , Hartati; Imelda Saluza
Jurnal Matematika Vol 7 No 2 (2017)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/JMAT.2017.v07.i02.p87

Abstract

The financial market is a place or means convergence between demand and supply of a wide range of financial instruments Long-term (over one year). Activities that occur in the financial markets in the long term will form a series of data is often called a time series that contains a set of information from time to time. Practical experience shows that many time series exhibit their periods with great volatility. The greater the volatility, the greater the chance to experience a gain or loss. Important properties are often owned by the data time series in finance, especially to return data that the probability distribution of returns are fat tails (tail fat) and volatility clustering or often referred to as a case heteroskedastisitas. Not all models are able to capture the nature of heteroscedasticity, one of the models that are able to do is Generalized Autoregressive Heteroskedasticity Condition (GARCH). So the purpose of this study was to determine the GARCH model in dealing with the volatility that occurred in the financial data. The results showed that the GARCH model is best suited to see volatility in the financial data.
Co-Authors Abdul Aziz Zulfikar Agustina Heryati Ahmad Sanmorino Akbar, Muhamad Hafiz Alie, Muhammad Fadhiel Alpin Herman Saputra Andini Utari Putri Anggraini, Leriza Desitama Anjani, Fia Sakina Antoni, Darius Ariati, Nining Aulia, Beta Bagus Setiawan Bobby Halim Cyndika DEWI SARTIKA Dewi Sartika Dewi Sartika Dewi Sartika Dhamayanti Dhamayanti Dhamayanti Dhamayanti Dhamayanti Dhamayanti, Dhamayanti Dona Marcelina Eko Nugroho, Muhammad Davidio Endah Dewi Purnamasari Endah Purnamasari Endah Puspita Sari Ensiwi Munarsih, Ensiwi Eva Susanti EVI YULIANTI Evi Yulianti Fadhiel Alie, Muhammad Faradilla Faradilla Faradillah , Faradillah Faradillah Faradillah Faradillah, Faradillah Fattah, Hussein Hariyansa, Meru Hartati Hartati Hartati Hatika Hatika, Hatika Heryati , Agustina Heryati*, Agustina Husnawati Husnawati Iisnawati, Iisnawati Indah Permata Sari Indah Permatasari Indah Permatasari Indah Permatasari Indah Pratiwi Putri Indah, Sylvia Uly Kesuma, Hendra Di Kesuma, Hendra Di Lastri Astuti Lastri Widya Astuti Lastri Widya Astuti Lastri Widya Astuti, Lastri Widya Leriza Anggraini M. Fadhiel Alie Marcelina, Dona Marcellina, Dona Maya Amelia Mohammad Taufikurrahman Muhammad Fadhiel Alie Muhammad Haviz Irfani Nazori Suhandi Nining Nova Yanti Maleha Patriansah, Mukhsin Pratiwi, Indah Putri Putri, Hilda Muslia Putri, Indah Pratiwi Ramadhan, Mustafa Rini Yunita, Rini Roswaty Roswaty Roswaty Roswaty Roswaty Roswaty Roswaty Roswaty, Roswaty Rudi Heriansyah Rudi Heriansyah, Rudi Sartika, Dewi Sinta Habibah Sunardi, Hastha Suryati Syachrul Haq, Muhammad Raka Syahrul Haq, Muhammad Raka Teguh Teguh Wulandari, Try Yulianti, Evi Yulius, Yosef Zulfikar, Abdul Aziz