J-MAS (Jurnal Manajemen dan Sains)
Vol 6, No 2 (2021): Oktober

Permodelan GARCH pada IHSG dan Indeks LQ45

R Adisetiawan (Universitas Batanghari Jambi, Indonesia)
Nuraini Nuraini (Unknown)
Hana Tamara Putri (Unknown)
Ahmadi Ahmadi (Unknown)

Article Info

Publish Date
27 Oct 2021

Abstract

ARCH and GARCH models are widely used to describe the form of volatility of a heteroskedastic time series data. Volatility is a measure of how far a stock price or stock price index moves in a given period. The LQ45 Index is an index that measures the performance of stocks of various companies that are operationally for the types of stocks that have high liquidity. The stock price index used is the LQ45 index for the period 2016.09-2021.09. The return of the stock price index is modeled in the best form of GARCH univariate. Research shows that the best GARCH univariate model is EGARCH (3,3).

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Journal Info
J-MAS (Jurnal Manajemen dan Sains)
Website

Abbrev

jmas

Publisher

Universitas Batanghari Jambi

Subject

Economics, Econometrics & Finance Social Sciences

Description

J-MAS (Jurnal Manajamen dan Sains) diterbitkan oleh Program Magister Manajemen Universitas Batanghari, Jurnal ini mencakup bidang ilmu Ekonomi Manajemen. J-MAS (Jurnal Manajamen dan Sains) terbit sebanyak dua kali dalam setahun yaitu pada bulan April dan Oktober. Jurnal ini mempublikasikan artikel ...