Aplikasi GARCH dalam Mengatasi Volatilitas Pada Data Keuangan
The financial market is a place or means convergence between demand and supply of a wide range of financial instruments Long-term (over one year). Activities that occur in the financial markets in the long term will form a series of data is often called a time series that contains a set of informati...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Udayana
2017-12-01
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| Series: | Jurnal Matematika |
| Online Access: | https://ojs.unud.ac.id/index.php/jmat/article/view/37026 |
| _version_ | 1818520409659670528 |
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| author | , Hartati Imelda Saluza |
| author_facet | , Hartati Imelda Saluza |
| author_sort | , Hartati |
| collection | DOAJ |
| description | The financial market is a place or means convergence between demand and supply of a wide range of financial instruments Long-term (over one year). Activities that occur in the financial markets in the long term will form a series of data is often called a time series that contains a set of information from time to time. Practical experience shows that many time series exhibit their periods with great volatility. The greater the volatility, the greater the chance to experience a gain or loss. Important properties are often owned by the data time series in finance, especially to return data that the probability distribution of returns are fat tails (tail fat) and volatility clustering or often referred to as a case heteroskedastisitas. Not all models are able to capture the nature of heteroscedasticity, one of the models that are able to do is Generalized Autoregressive Heteroskedasticity Condition (GARCH). So the purpose of this study was to determine the GARCH model in dealing with the volatility that occurred in the financial data. The results showed that the GARCH model is best suited to see volatility in the financial data. |
| first_indexed | 2024-12-11T01:37:00Z |
| format | Article |
| id | doaj.art-658198dbbd1d4048be7ef238061dcc8a |
| institution | Directory Open Access Journal |
| issn | 1693-1394 |
| language | English |
| last_indexed | 2024-12-11T01:37:00Z |
| publishDate | 2017-12-01 |
| publisher | Universitas Udayana |
| record_format | Article |
| series | Jurnal Matematika |
| spelling | doaj.art-658198dbbd1d4048be7ef238061dcc8a2022-12-22T01:25:10ZengUniversitas UdayanaJurnal Matematika1693-13942017-12-017210711810.24843/JMAT.2017.v07.i02.p8737026Aplikasi GARCH dalam Mengatasi Volatilitas Pada Data Keuangan, Hartati0Imelda Saluza1Universitas TerbukaUniversitas Indo Global MandiriThe financial market is a place or means convergence between demand and supply of a wide range of financial instruments Long-term (over one year). Activities that occur in the financial markets in the long term will form a series of data is often called a time series that contains a set of information from time to time. Practical experience shows that many time series exhibit their periods with great volatility. The greater the volatility, the greater the chance to experience a gain or loss. Important properties are often owned by the data time series in finance, especially to return data that the probability distribution of returns are fat tails (tail fat) and volatility clustering or often referred to as a case heteroskedastisitas. Not all models are able to capture the nature of heteroscedasticity, one of the models that are able to do is Generalized Autoregressive Heteroskedasticity Condition (GARCH). So the purpose of this study was to determine the GARCH model in dealing with the volatility that occurred in the financial data. The results showed that the GARCH model is best suited to see volatility in the financial data.https://ojs.unud.ac.id/index.php/jmat/article/view/37026 |
| spellingShingle | , Hartati Imelda Saluza Aplikasi GARCH dalam Mengatasi Volatilitas Pada Data Keuangan Jurnal Matematika |
| title | Aplikasi GARCH dalam Mengatasi Volatilitas Pada Data Keuangan |
| title_full | Aplikasi GARCH dalam Mengatasi Volatilitas Pada Data Keuangan |
| title_fullStr | Aplikasi GARCH dalam Mengatasi Volatilitas Pada Data Keuangan |
| title_full_unstemmed | Aplikasi GARCH dalam Mengatasi Volatilitas Pada Data Keuangan |
| title_short | Aplikasi GARCH dalam Mengatasi Volatilitas Pada Data Keuangan |
| title_sort | aplikasi garch dalam mengatasi volatilitas pada data keuangan |
| url | https://ojs.unud.ac.id/index.php/jmat/article/view/37026 |
| work_keys_str_mv | AT hartati aplikasigarchdalammengatasivolatilitaspadadatakeuangan AT imeldasaluza aplikasigarchdalammengatasivolatilitaspadadatakeuangan |