Natasha, Azaria (2015) Analisis volatilitas saham perusahaan dengan metode EGARCH. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Bentuk investasi yang umum adalah saham. Di dalam
kegiatan berinvestasi, selalu ada dua hal penting yaitu risiko atau
tingkat pengembalian (return). Investor selalu bertujuan untuk
mendapatkan return yang besar, tetapi return yang besar selalu
diimbangi dengan risiko yang besar pula. Keadaan saham yang
sering berfluktuasi mempunyai kecenderungan untuk terjadi
volatilitas, sehingga diperlukan model yang dapat mengakomodasi
keadaan volatilitas tersebut. Sehingga untuk memodelkan
volatilitas tersebut menggunakan pendekatan ARCH, GARCH, dan
EGARCH. Sedangkan untuk model returnnya menggunakan model
ARIMA. Di dalam penelitian ini terdapat empat saham perusahaan
yang tergabung dalam LQ45. Hanya satu saham yang dapat
didekati dengan metode EGARCH, yaitu saham PT Bank Central
Asia, dengan model volatilitas EGARCH(1,1) dan model return
ARIMA([4],0,0). Model volatilitas dan return PT Astra
Internasional Tbk adalah GARCH(1,1) dan ARIMA([3],0,0).
Untuk PT Semen Gresik (Persero) Tbk adalah GARCH(1,1) dan
ARIMA(0,0,[3,15]). Sedangkan PT United Tractors Tbk adalah
GARCH(1,1) dan ARIMA([42],0,[5]).
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Common form of investment is stock. In investing activities,
there are always two important things that the risk or rate of
return. Investors are always aiming to get a big return, but the
greater return is always offset by the greater risk. Circumstances
which often fluctuate shares have a tendency to occur volatility, so
it requires a model that can accommodate the volatility state. So as
to model the volatility approach ARCH, GARCH, and EGARCH.
As for the model return using ARIMA models. In this study, there
are four stock company incorporated in LQ45. Only one stock
which can be approximated by the method EGARCH, namely PT
Bank Central Asia, with volatility models EGARCH (1,1) and
ARIMA models return ([4], 0.0). Model volatility and return of PT
Astra International Tbk is the GARCH (1,1) and ARIMA ([3], 0.0).
PT Semen Gresik (Persero) Tbk is a GARCH (1,1) and ARIMA
(0,0, [3,15]). While PT United Tractors Tbk is the GARCH (1,1)
and ARIMA ([42], 0, [5]).
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Additional Information: | RSMa 519.535 Nat a |
| Uncontrolled Keywords: | heterokedastisitas; return; ARIMA; ARCH; GARCH; EGARCH |
| Subjects: | Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Mathematics |
| Depositing User: | - Taufiq Rahmanu |
| Date Deposited: | 04 Oct 2019 07:11 |
| Last Modified: | 04 Oct 2019 07:11 |
| URI: | http://repository.its.ac.id/id/eprint/70995 |
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