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Hidayat, Amam Taufiq
Universitas Malikussaleh, Aceh
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Journal : Media Statistika

 1 
PERSAMAAN DIFERENSIAL ORNSTEIN-UHLENBECK DALAM PERAMALAN HARGA SAHAM Amam Taufiq Hidayat; Subanar Subanar
MEDIA STATISTIKA Vol 13, No 1 (2020): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (383.443 KB) | DOI: 10.14710/medstat.13.1.60-67

Abstract

Geometric Brownian motion is one of the most widely used stock price model. One of the assumptions that is filled with stock return volatility is constant. Gamma Ornstein-Uhlenbeck process a model to describe volatility in finance. Additionally, Gamma Ornstein-Uhlenbeck process driven by Background Driving Levy Process (BDLP) compound Poisson process and the marginal law of volatility follows a Gamma distribution. Barndorff-Nielsen and Shepard (BNS) Gamma Ornstein-Uhlenbeck model can to sample the process for the stock price with volatility follows Gamma Ornstein-Uhlenbeck process. Based on these, the simulation result are compared BNS Gamma Ornstein-Uhlenbeck model with geometric Brown motion for Standard and Poor (SP) 500 stock data. Simulation result give BNS Gamma Ornstein-Uhlenbeck model and Geometric Brownian motion a Root Mean Square Error (RMSE) are 0,13 and 0,24 respectively. These result indicate that the BNS Gamma  Ornstein-Uhlenbeck model gives a more accurate  than Geometric Brownian motion
Co-Authors . Zulfan Absa, Munzir Afriyani, Mice Putri Aklimawati Aklimawati Alawi, Muh Fahruddin Ali, Muhammad Abdullah AN, M Salman Anzila, Ria Arlin Maya Sari Attahara, Thalitha Azlia, Nur Bakhtiar Bakhtiar Desy Sary Ayunda Erna Isfayani Fadieny, Nurul Fajriana, Fajriana Fakhruddin Ahmad Nasution Fatwa, Islami Fauzi Ahmad Muda Halimatus Sakdiah, Halimatus Haves Qausar Hayatun Nufus Hayatun Nufus Hidayatsyah Hidayatsyah Isfayani, Erna Islami Fatwa Khusna, Rizka Walida Listiana, Yeni M Salman AN Mahathir Putra Darmawan Mardiaton, Mardiaton Muhammad Febriansyah Muhammad Febriansyah Muhammad Haikal Muksalmin, Muksalmin Muliaman, Agus Muliana Muliana, Muliana Muliani Muliani, Muliani Muna, Zurratul Munzir Absa Mursalin, M Mutia Fonna Muttakin Nasruddin Nasruddin Nur Elisyah Nur Fadhilah Nursada, Rahmah Nurul Afni Sinaga Pangaribuan, Susanti Sri Anggreny Rahmia, Rahmia Rahyuni Rahyuni Reza Pahlevi Ginting Rifaatul Mahmuzah Riza Andriani Riza Andriani Rizky Putra Fhonna Rohantizani, Rohantizani Rohmatul Amna Sakinatul Ikhlas, Arifah Sa’diyah Setiawaty, Sri Sinaga, Nurul Afni sinar wani Subanar Subanar Sudirman Sudirman Syafrizal Syafrizal Syuhaya, Nanda Teuku Muhammad Arinal Tulus Setiawan Ucia Mahya Dewi Veri Ilhadi Wani, Sinar Widya Widya Widya Widya Widya, Widya Yeni Listiana Yesy Afrillia Yulia Zahara Zainul Mujtahid Zuliati, Septiarini