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All Journal Jurnal Gaussian Jurnal Online Mahasiswa (JOM) Bidang Keguruan dan Ilmu Pendidikan Jurnal Edukasi dan Penelitian Informatika (JEPIN) EDUTECH: Jurnal Ilmu Pendidikan dan Ilmu Sosial JURNAL INTEGRASI al-Afkar, Journal For Islamic Studies Pendas : Jurnah Ilmiah Pendidikan Dasar Jurnal Ilmiah KORPUS Jurnal Geografi JURNAL BUANA JSiI (Jurnal Sistem Informasi) At-Tafkir Faktor Jurnal Ilmiah Kependidikan Al-Mursalah Elementa: Jurnal Pendidikan Guru Sekolah Dasar Abdimas Toddopuli: Jurnal Pengabdian Pada Masyarakat Journal of Applied Electrical Engineering Maspul Journal of Community Empowerment Bidayah: Studi Ilmu-Ilmu Keislaman Agroekotek View Al-Awqaf: Jurnal Wakaf dan Ekonomi Islam Budapest International Research and Critics Institute-Journal (BIRCI-Journal): Humanities and Social Sciences Soeropati: Journal of Community Service Indonesian Journal of Education, Social Sciences and Research (IJESSR) Wacana : Jurnal Penelitian Bahasa, Sastra dan Pengajaran JPM: JURNAL PENGABDIAN MASYARAKAT Nusantara Hasana Journal Jurnal Mahasiswa Sistem Informasi (JMSI) Jurnal Pengabdian kepada Masyarakat Politeknik Negeri Batam Jurnal Teknik Informatika Jurnal Pendidikan dan Pembelajaran Jurnal Sistem Informasi Dan E-Bisnis Jurnal Ilmu Komputer Dan Informatika Al-DYAS : Jurnal Inovasi dan Pengabdian kepada Masyarakat Jurnal Ilmiah Ilmu Pengetahuan Sosial Indonesia (JIIPSI) Journal of Food and Agricultural Product Jurnal Pendidikan dan Pengabdian Masyarakat Jurnal Riset Rumpun Ilmu Sosial, Politik dan Humaniora (JURRISH) JRIIN :Jurnal Riset Informatika dan Inovasi Jurnal Buana Karunia: Jurnal Hasil Pengabdian Masyarakat Indonesia Jurnal Imu Pendidikan dan Keagamaan QOSIM: Jurnal Pendidikan, Sosial & Humaniora Jurnal Akademik Pengabdian Masyarakat Jurnal Media Akademik (JMA) Jurnal Pengabdian Masyarakat Ilmu Komputer Jurnal Pendidikan Dasar Islam Modem : Jurnal Informatika dan Sains Teknologi JURNAL BUANA Pemberdayaan Masyarakat: Jurnal Aksi Sosial Indonesian Journal of Law and Justice Ulil Albab JOURNAL SULTRA ELEMENTARY SCHOOL Jurnal Dedikasi Abdi Masyarakat INOVTEK Seri Elektro Islamic Education
MUHAMMAD ARIFIN
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Journal : jurnal gaussian

 1 
PEMODELAN RETURN PORTOFOLIO SAHAM MENGGUNAKAN METODE GARCH ASIMETRIS Muhammad Arifin; Tarno Tarno; Budi Warsito
Jurnal Gaussian Vol 6, No 1 (2017): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (669.39 KB) | DOI: 10.14710/j.gauss.v6i1.14766

Abstract

Investment in stocks is an alternative for investors and companies to obtain external funding sources. In the investment world there is a strong relationship between risk and return (profit), if the risk is high then return will also be high. Risks can be minimized by performing stock portfolio. Stock is the time series data in the financial sector, which usually has a tendency to fluctuate rapidly from time to time so that variance of error is not constant. Time series model in accordance with these condition is Generalized Autoregressive Conditional Heteroscedasticity (GARCH). This research will apply asymmetric GARCH covering Exponential GARCH (EGARCH), Threshold GARCH (TGARCH), and Autoregressive Power ARCH (APARCH) in stock data Indocement Tunggal Tbk (INTP), Astra International Tbk (ASII), and Adaro Energy Tbk (ADRO) commencing from the date of March 1, 2013 until February 29, 2016 during an active day (Monday to Friday). The purpose of this research is to predict the value of the volatility of a portfolio of three assets stocks. The best models used for forecasting volatility in asset stocks which have asymmetric effect is ARIMA ([13],0,[2,3]) EGARCH (1,1) on a single asset data INTP, ARIMA ([2],0,[2,3]) EGARCH (1,1) on the 2 asset portfolio data ASII INTP, and ARIMA ([3],0,[2]) EGARCH (1,1) on the 3 asset portfolio data INTP-ASII-ADRO.Keywords: Stocks, Portfolio, Return, Volatility, Asymmetric GARCH.
Co-Authors Abdul Manan Abdul Nasar Abdullah Sani Achmad Zainuddin Adhi Bahtiar Adhira, Meisya Adi Mansar Adiv Prasetiyo Nugroho Adlian Jefiza Afridon, M Afriyanti Afriyanti Agus Trianto Ahmad Riyad Firdaus Akbar Muhammad Fadli Akmal Abdul Majid Amalia, Nadra Amanda Diyas Setiyoadi Amelia Vega Utomo Andhika Putri Khoirun Nisfah Andika Nurfalah Ramadhani Ardinawati Ardinawati Arif Setiawan Arina Wulandari Arsyad Muhammad Sajjad Ashaluddin Jalil Asnita Sari Asri Nabila Jahro Atika Anggraini Atika Wiwi Utami Aulia Fatmawati Ayi Ayatullah Azhari, Fitriyah Azka, Muhammad Bagus Putra Sulung Budi Warsito Cakra Haji Catur Budi Handayani Chatarina Umbul Wahyuni Chatimatun Nisa Chirza Rahman Cindy Wijaya, Cindy Creed Ridho Sonsania Danial, Nur Hasan Anwas Deni Nasir Ahmad Devi Savitri Effendy Diska Kurnia Azzahra Putra Diyas Aditya Adi Saputra Dodik Wahyono Dr. Ruslan, SH.,MH Dwi Febriani Dwi Imam Mulyono Egi Fazar Firrizqi Elkin Rilvani Endah Purwaningsih Eviana Hartanti Evitri Anggraeni Fadilla Aulia Savana Farell Muhammad Dava Farhan Wildan Darmawan Fauzi Ismail Ferdyan Candra Adinata Ferida Yuamita Ferry Susanto Limbong Fikri hamdhan Dwi Saputra Ghozalli Mashan Hafas Furqani Harahap, Tetty Rosmaida Harsilaningsih Harsilaningsih Hasibuan, Salsabila Hendra Wijaya Hidayat, Muhammad Irfan Hidayatullah Ika Karlina Laila Nur Suciningtyas Imron Rosyadi Indah Khairany Indra Daulay Indriani Zabrina Putri Ira Zamzami Isnina Isnina Jayawarsa, A.A. Ketut Julfah Indriyani Junaidi Junaidi Kemal Husen Kemal Maesal Azam Khadijah Binti Mohd Khambali Khairudin La Ode Rifaldy Rizqi Ramadan.M Maghfirah Chairunnisa Mahendra, Alfianas Shofi Tafta Mahendra, Indra Wahyu Merri Silvia Basri Metalia Rohali Miftahul Hasanah Mikael Rivaldo Miko, Jatmiko Bentang Nugroho Mila Angraeni Mohammad Agus Purnomo Mohammad Agus Purnomo Mohammad Khoirul Anwar Muhammad Ardi Hermansyah Muhammad Fandi Muhammad Rif'al Rafi Muhammad rifa'i Muhammad Rizki Romadhan Muhammad Rizqy Maulana Muhammad Tegar Juleo Wicaksana Mustanir Mustanir Nadhrah Wivanius Noor Latifah Noormaliah Nova Bryan Haidar Nur Robiatul Adawiyah Nurjamiyah, Nurjamiyah Nurmaladewi Nurmaladewi Oktagina Feronica Okti Maryana Paduloh Paduloh Pratiwi Cahyaningtiyas Pratomo Setiaji Putri, Semila R Rhoedy Setiawan Rabbani, Muhammad Rafif Ragil Cahya Satria Rahmatulloh Rahmatulloh Rakan, Muhammad Rakan Wafi Ramadhan Ramadhan Tosepu Ramadhan, Galang Novian Rati Rahayu Ratna Mulyany Ria Ariesta Ridho Miustafa Rifdah Molidah Rika Sofiana Riki Ria Rizda Sandiva Saputri Rizqi Aufa Eka Prathama Rosalva Denisia Yulia Yahya Rossa Aprilia Wulan As’ad Rossa Aprilia Wulan As’ad` Rosyada, Mila Rudy Patar Purwanto Purba Sabni Gilang Permana Sahari, Alpi Salma Elsa Widyadhana Saprijal, Saprijal Saskia Aila Virda Sa’adah Erliani Septian Fatianda Sigit Muamar Yusuf Soni Adiyono Suhadi Suhadi Suheri Mira Atmaja Sumantri Kurniawan Risandriya T. Erwinsyahbana Tarmukan Tarmukan Tarno Tarno Wa Ode Yanti WIbowo, Rikardo Satrio Wibowo Widya Prarikeslan Widya Rika Puspita Wulan Cahyati Wulida Makhtuna Yaksibun, Yaksibun Yohani, Adisthi Martha Yudha Adrian, Yudha Yudhinanto CN Yuni Kamilaini Zaharuddin Zaharuddin Zahra Nuril Anwar Zahratul Jannah Zuraida Titin Mariana