Jurnal Hasi Penelitian Dan Pengkajian Ilmiah Eksakta - JPPIE
Vol 1 No 2 (2022): Jurnal Hasi Penelitian Dan Pengkajian Ilmiah Eksakta - JPPIE

Pemodelan Harga Saham Menggunakan Arma-Garch

Dwi Sulistiowati (Universitas Dharma Andalas)
Maya Sari Syahrul (Universitas Dharma Andalas)
Iswan Rina (Universitas Dharma Andalas)

Article Info

Publish Date
19 Jul 2022

Abstract

Autoregressive Conditional Heteroscedasticity (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models were used for modeling with heteroscedasticity data. This study aims to determine the time series model on the stock price data of PT Triputra Agro Persada Tbk. (TAPG) with modeling ARMA, ARCH and GARCH. Based on the smallest Akaike Information Criterion (AIC) and Schwarz Criterion (SC), it shows that the ARMA(1,0)-GARCH(2,1) model is the best model for predicting the value of TAPG stock prices.

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Journal Info
Jurnal Hasi Penelitian Dan Pengkajian Ilmiah Eksakta - JPPIE
Website

Abbrev

jppie

Publisher

Universitas Dharma Andalas

Subject

Aerospace Engineering Agriculture, Biological Sciences & Forestry Arts Automotive Engineering Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Earth & Planetary Sciences Electrical & Electronics Engineering Energy Engineering Health Professions Industrial & Manufacturing Engineering Library & Information Science Mathematics Mechanical Engineering Medicine & Pharmacology Neuroscience Nursing Physics Public Health Veterinary

Description

Jurnal Penelitian & Pengkajian Ilmiah Eksakta (JPPIE) merupakan media jurnal elektronik yang diterbitkan oleh Universitas Dharma Andalas sebagai sarana untuk penyebaran dan publikasi hasil penelitian dan pengkajian pemikiran kritis mahasiswa yang orisinil dan up to date. JPPIM memuat artikel bidang ...