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All Journal dCartesian: Jurnal Matematika dan Aplikasi d'Cartesian: Jurnal Matematika dan Aplikasi
Deiby T Salaki
Universitas Sam Ratulangi
Computer Science & IT Mathematics

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The Model Exponential GARCH (EGARCH) Untuk Memprediksi Harga Saham PT Merdeka Copper Gold Tbk Agnes Eunike Sangian; Nelson Nainggolan; Deiby T Salaki
d'CARTESIAN:Jurnal Matematika dan Aplikasi Vol. 12 No. 1 (2023): Maret 2023
Publisher : Universitas Sam Ratulangi

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35799/dc.12.1.2023.48094

Abstract

The price of gold is determined by trading in the gold market and its derivatives. This study aims to determine the EGARCH model in predicting gold stock prices at PT Merdeka Copper Gold Tbk and to obtain the prediction results of the EGARCH model at PT Merdeka Copper Gold Tbk. There are two asymmetric GARCH response modeling techniques, namely the Threshold GARCH model (TGARCH) from Glosten, et al (1993) and Exponential GARCH (EGARCH) from Nelson (1991). The research results show that the ARIMA model (0,1,1) has the smallest AIC value of 6096.38. The GARCH model is obtained by GARCH (0,1), so it can be modeled using the EGARCH model. The EGARCH model obtained is EGARCH (1.7).
The Model Exponential GARCH (EGARCH) Untuk Memprediksi Harga Saham PT Merdeka Copper Gold Tbk Agnes Eunike Sangian; Nelson Nainggolan; Deiby T Salaki
d\'Cartesian: Jurnal Matematika dan Aplikasi Vol. 12 No. 1 (2023): Maret 2023
Publisher : Sam Ratulangi University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35799/dc.12.1.2023.48094

Abstract

The price of gold is determined by trading in the gold market and its derivatives. This study aims to determine the EGARCH model in predicting gold stock prices at PT Merdeka Copper Gold Tbk and to obtain the prediction results of the EGARCH model at PT Merdeka Copper Gold Tbk. There are two asymmetric GARCH response modeling techniques, namely the Threshold GARCH model (TGARCH) from Glosten, et al (1993) and Exponential GARCH (EGARCH) from Nelson (1991). The research results show that the ARIMA model (0,1,1) has the smallest AIC value of 6096.38. The GARCH model is obtained by GARCH (0,1), so it can be modeled using the EGARCH model. The EGARCH model obtained is EGARCH (1.7).
Co-Authors Agnes Eunike Sangian Nelson Nainggolan