Harwanti, Trisna Novia (2020) Peramalan Volatilitas Return Harga Sukuk dengan Menggunakan Metode GARCH. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Sukuk merupakan salah satu produk investasi keuangan syariah di pasar modal yang banyak diminati oleh investor. Hal tersebut dikarenakan investor memandang Sukuk sebagai sumber pembiayaan jangka panjang dengan menerapkan prinsip syariah yang memiliki resiko yang rendah. Dalam meramalkan volatilitas return harga Sukuk, data return harga Sukuk dimodelkan dengan metode ARIMA dan dideteksi terdapat adanya kasus heteroskedastisitas. Karena adanya kasus heteroskedastisitas pada varian residual data return harga Sukuk maka perlu diterapkan model GARCH. Model GARCH terbaik yang sesuai dengan data return harga Sukuk yang digunakan yaitu GARCH (1,0) atau ARCH(1). Bentuk model ARCH(1) adalah σ_t^2 = 0,00000178 + 0,145236 ϵ_(t-1)^2 ; Y_t = 0,000338 - 0,95998Y_(t-1) - 0,9380e_(t-1) + e_t . Hasil peramalan volatilitas return harga Sukuk cukup tinggi sehingga mengakibatkan besarnya resiko serta sebanding dengan return yang diterima oleh investor. Penelitian ini dilakukan untuk memberikan saran serta membantu investor dalam merancang strategi dalam berinvestasi.
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Sukuk is one of the sharia financial investment products in the capital market which is in great demand by investors. This is because investors view Sukuk as a source of long-term financing by applying sharia principles which have low risk. In predicting the volatility of Sukuk price returns, Sukuk price return data is modeled by the ARIMA method and detected cases of heteroscedasticity. Because of the case of heteroscedasticity in the residual variant of Sukuk price return data, it is necessary to apply the GARCH model. The best GARCH model that fits the Sukuk price return data used is GARCH (1,0) or ARCH (1). The form of the ARCH (1) model is σ_t^2 = 0,00000178 + 0,145236 ϵ_(t-1)^2 ; Y_t = 0,000338 - 0,95998Y_(t-1) - 0,9380e_(t-1) + e_t. The results of forecasting Sukuk price return volatility are high enough to result in a large amount of risk and comparable to returns received by investors. This research was conducted to provide advice and assist investors in designing investment strategies.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | ARIMA, GARCH, Heteroskedastisitas, Peramalan, Sukuk, Volatilitas |
| Subjects: | Q Science > QA Mathematics > QA280 Box-Jenkins forecasting |
| Divisions: | Faculty of Mathematics, Computation, and Data Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | HARWANTI TRISNA NOVIA |
| Date Deposited: | 24 Aug 2020 08:36 |
| Last Modified: | 20 Nov 2023 07:41 |
| URI: | http://repository.its.ac.id/id/eprint/80767 |
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