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All Journal Prosiding Seminar Nasional Official Statistics
Firdausia, Farah Amira
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Humanities Computer Science & IT Economics, Econometrics & Finance Social Sciences

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Pemodelan EGARCH Return Saham, Emas, dan Cryptocurrency Firdausia, Farah Amira; Nasrudin, Nasrudin
Seminar Nasional Official Statistics Vol 2023 No 1 (2023): Seminar Nasional Official Statistics 2023
Publisher : Politeknik Statistika STIS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34123/semnasoffstat.v2023i1.1708

Abstract

Financial investment is an investment made by economic actors in financial markets through various financial instruments such as stocks, gold, and cryptocurrencies. This study has the goal of modeling the volatility of stock returns, gold, and cryptocurrencies during the Covid-19 pandemic. The data used is secondary data with the daily highest price during the peak period of the Covid-19 pandemic with the period 1 November 2020 to 30 April 2022. Modeling volatility on stock returns, gold, and cryptocurrencies which are asymmetrical uses EGARCH(1,1), EGARCH(0,1), and EGARCH(1,1). The three investment instruments have a leverage effect, namely bad news has a greater impact than good news, and the estimated volatility gives the result that cryptocurrency is the riskiest instrument followed by gold than stock.
Co-Authors Nasrudin