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Siregar, Machrani Adi Putri
Universitas Islam Negeri Sumatera Utara
Religion Agriculture, Biological Sciences & Forestry Humanities Biochemistry, Genetics & Molecular Biology Chemistry Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Health Professions Languange, Linguistic, Communication & Media Mathematics Mechanical Engineering Physics Public Health Social Sciences Other

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Journal : Jurnal Varian

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Egarch Model Prediction for Sale Stock Price Ismail Husein; Machrani Adi Putri Siregar; Arya Impun Diapari Lubis; Rima Aprilia
Jurnal Varian Vol 6 No 1 (2022)
Publisher : Universitas Bumigora

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30812/varian.v6i1.1975

Abstract

Stock is an investment in the capital market that is very promising for investors. Investors can also get high returns from the shares invested. However, this stock price is not always stable, it can go up and down drastically. The purpose of this study is to predict stock prices because they often experience instability. The method used in this research is using the Exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model with the Quasi Maximum Likelihood (QML) method. The result of this research is the implementation of this model. The EGARCH model used is the stock price index model that is formed, namely the autoregressive integrated moving average (ARIMA) (0, 1, 2) EGARCH (1.4). The conclusion from the results of the research that predictions using the ARIMA model (0, 1, 2) EGARCH (1, 4) is the best model in accommodating the asymmetric nature of the volatility of the stock price index. The results of this egarch model show more optimal prediction results seen from an error of 3% compared to other modes such as the arch model and the GARCH model.
Co-Authors Afsari, Khaila Agustin, Uni Agustina Rangkuti Aminda Tri Handayani Ammamiarihta Ammamiarihta Ammamiarihta, Ammamiarihta Andini, Fadhila Andini, Fadhila Andini Aqfi, Farizi Arya Impun Diapari Lubis Asrul Asrul Atika Nadila Aulia, Raodhatus Anggi Ayu Lestari Batubara, Ana Uzla Chairina Chairina Debi Anggitasyah Dede Ibrahim Muthawali Deva Rezky Ramadhani Dian Fadila S. Dinda, Dinda Durriah Hasibuan Eka Yusnita Eryanti Lisma Eryanti Lisma Fahriza Irfansyah Harahap, Irham Habibi Harleni, Harleni Hartika Harahap, Afifah Hasratuddin, Hasratuddin Hendra Cipta Hetty Elfina Hidayah Nasution, Hijrah Himatun Khoiriyah Hizmi Wardani Intan Irfanilia Irfansyah, Fahriza Irham Habibi Harahap Ismail Husein, Ismail Khoiriyah, Himatun Lisma, Eryanti Lisma, Eryanti M. Fauzan Zannurrain Muhammad Ridwan Muthawali, Dede Ibrahim Nenna Isya Syaputri Nova Riani Nurhalizah, Siti Nurjannah Nurjannah Panjaitan, Syarifah Utari Pasaribu, Endi Zunaedy Poppy Andriani Pranata, Anang Putri, Aprilla Queenty Dhea Haura Br Sitepu R Maisaroh Rezykiyah Siregar Rahmadhani Rahmadhani Rahmadhani, Rahmadhani Raidhatul Ilmi Rakhmawati, Fibri Ramadhani, Cahya Dwi Rangkuti, Robiatul Adawiyah Rima Aprilia Rima Aprilia Rina Widyasari Rizki Hannum Rizkina, Manisyah Rohimah, Nur Roshihan Mawazzi Lubis Rusi Ulfa Hasanah Sarah, Henny May Silvia Harleni Sinaga, Bornok Siregar, R. Maisaroh Rezekiyah Sofia, Nur Suci Dahlya Narpila, Suci Dahlya Sutarman Sutarman Sutarman Syahputri, Ziana Wardani, Putri Widyasari, Rina Winanda Marito Yeni, Yetri Yulia Anita Siregar Yunisa, Fahira Audri Zakaria Alfikri Sirait Zulaika, Zulaika