PERAMALAN VOLATILITAS RETURN SAHAM MENGGUNAKAN METODE ASYMMETRIC POWER ARCH (APARCH)
Model APARCH is one of the asymmetric GARCH models. These models are able to capture the incidence of good news and bad news in the volatility. The APARCH model has an asymmetric coefficient to cope with leverage effect by modeling a leverage that has heteroscedasticity and asymmetric effect conditi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Udayana
2020-09-01
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| Series: | E-Jurnal Matematika |
| Online Access: | https://ojs.unud.ac.id/index.php/mtk/article/view/63628 |