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All Journal Jurnal Lebesgue : Jurnal Ilmiah Pendidikan Matematika, Matematika dan Statistika
Ermanely Ermanely
Universitas Andalas
Decision Sciences, Operations Research & Management Education Mathematics

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MODEL VOLATILITAS SAHAM LQ45 DENGAN PENDEKATAN MARKOV-SWITCHING GARCH Ermanely Ermanely; Dodi Devianto; Ferra Yanuar
Jurnal Lebesgue : Jurnal Ilmiah Pendidikan Matematika, Matematika dan Statistika Vol. 4 No. 2 (2023): Jurnal Lebesgue : Jurnal Ilmiah Pendidikan Matematika, Matematika dan Statistik
Publisher : LPPM Universitas Bina Bangsa

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46306/lb.v4i2.402

Abstract

Financial markets have an important role in the economy of a country including Indonesia. One of the activities chosen by investors in the financial market is investing. In the world of investment, especially in stocks, there is a phenomenon of volatility, which is a situation where a stock price value increases and decreases. Volatility in this financial market is something that is very interesting for investors because of its impact on the existence of global financial markets. The purpose of this study is to model the LQ45 index data using a model that can overcome the problem of heteroscedasticity and changes in data structure. The commonly used model for heteroscedasticity problem is ARCH/GARCH. Furthermore, a model that can account for structural changes is the Markov Switching model. The model that can overcome the problem of heteroscedasticity as well as structural changes is the MS GARCH model. The financial data used in this study are daily data for the LQ45 Index from 10 June 2019 to 28 May 2020. Based on the results of data analysis conducted using the MS GARCH model is the best model in modelling the volatility of the LQ45 index. The best model selection uses the criteria for the AIC and BIC values with the smallest value
Co-Authors Devianto, Dodi Yanuar, Ferra