PENGKLUSTERAN DATA TIME SERIES KEUANGAN DENGAN MODEL GARCH (1,1) PADA PASAR SAHAM INTERNASIONAL

Rafulta, Elfa

Sainstek : Jurnal Sains dan Teknologi
Vol 4, No 1 (2012)

paper introduced a method clustering for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data. Keywords: GARCH, Cluster Analisis, Intenational Stock Markets