PERAMALAN HARGA EMAS DENGAN MODEL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (GARCH)

M. Al Haris (Universitas Muhammadiyah Semarang)

Jurnal Saintika Unpam : Jurnal Sains dan Matematika Unpam
Vol 3, No 1 (2020)

Gold was the one of the long-term investment commodities that were considered as the safe heaven for investors. The gold price was strongly influenced by global socioeconomic that causing fluctuations in price changes. The Fluctuations of gold price would be causing the denying of homogeneous variance assumption (heteroscedasticity). The purpous of This study was to apply Generalized Autoregressive Conditional Heteroscedasticity (GARCH) to model the fluctuations of gold prices. GARCH was the development of Autoregressive Conditional Heteroscedasticity (ARCH) model which was used to model the heterogeneous variance of the mean model. The data used in this study was the daily gold price data from May 5th, 2015 to May 27th, 2020. The results of this study showing the best model based on the smallest AIC value of -6.8788 was ARIMA (1,1,0) GARCH (1,1).