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All Journal CAUCHY: Jurnal Matematika Murni dan Aplikasi Jurnal Pendidikan Ekonomi & Bisnis Desimal: Jurnal Matematika BAREKENG: Jurnal Ilmu Matematika dan Terapan Jurnal Aplikasi Statistika & Komputasi Statistik EAJ (ECONOMICS AND ACCOUNTING JOURNAL) AKADEMIK: Jurnal Mahasiswa Ekonomi & Bisnis Journal of Mathematics, Computation and Statistics (JMATHCOS)
Valentika, Nina
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Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Energy Engineering Mathematics Mechanical Engineering Physics Social Sciences Transportation

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Journal : EAJ (ECONOMICS AND ACCOUNTING JOURNAL)

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Implementation of Volatility Model in Modeling Relationship Between Share Trade Variables Valentika, Nina; Waryanto, Hendro
EAJ (Economic and Accounting Journal) Vol. 4 No. 2 (2021): EAJ (Economic and Accounting Journal)
Publisher : Universitas Pamulang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32493/eaj.v4i2.y2021.p104-110

Abstract

This study deals with the comparison of Generalized Autoregressive (GARCH) models and square returns in analyzing the relationships between stock trading variables. Stocks that have a statistically significant relationship between volume and volume return squared (volatility) cannot be grouped based on the average monthly market capitalization. Based on causal and contemporary models, it is indicated that intraday trading of LQ-45 stock samples is following the theory of the sequential information arrival hypothesis (SIAH) when using the quadratic return model. When viewed from a contemporary basis, this research uses the quadratic return volatility model following Valentika et.al (2017) research using the GARCH volatility model. If viewed from a causal basis, this research that uses the quadratic return volatility model conflicts with the Valentika et.al (2017) study using the GARCH volatility model.
Co-Authors Agusyarif Rezka Nuha Azis, Irfani Bagus Sartono Chasanah, Sri Istiyarti Uswatun Fitriani, Sabrina Harahap, Irwan Leo Putra I Made Sumertajaya Ilmadi, Ilmadi Kusdaniyama, Nunung La Ode Nashar Maulidi, Ikhsan Nunung Kusdaniyama Nursyirwan, Vivi Iswanti Purwana E.S., Dedi Rahman, Gusti Arviana Sunardi Syarif Abdullah Syazali, Muhammad Usep Suhud Vina Apriliani Waryanto, Hendro Wibowo, Bonno Andri