Penerapan Model Exponential Generalized Autoregressive Heteroscedasticity (EGARCH) Untuk Peramalan Volatilitas Harga Saham

Puspitasari, Andita Agustin (2022) Penerapan Model Exponential Generalized Autoregressive Heteroscedasticity (EGARCH) Untuk Peramalan Volatilitas Harga Saham. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Kegiatan berinvestasi, seperti investasi saham tentunya tidak terlepas dengan dua hal yang penting yaitu, resiko serta return. Return merupakan tingkat keuntungan yang diperoleh para investor dari hasil investasi saham yang dilakukan. Tujuan dari investor adalah ingin mendapat return yang tinggi, akan tetapi return yang tinggi pasti disertai oleh resiko yang tinggi. Terdapat komponen yang penting pada kegiatan investasi yaitu volatilitas yang merupakan varians dari return. Data finansial pada umumnya memiliki kecenderungan volatilitas, sehingga diperlukan model untuk mengakomodasi volatilitas pada data finansial. Model yang dapat mengakomodasi volatilitas antara lain, ARCH-GARCH, dan EGARCH. Model ARCH dan GARCH tidak dapat mewakili sifat asimetris pada data finansial, sehingga salah satu model yang dapat mewakili sifat asimetris adalah EGARCH. Pada penelitian Tugas Akhir ini, data yang digunakan adalah data return dari harga penutupan harga saham PT. Indofarma Tbk (INAF) yang merupakan perusahaan yang bergerak di bidang farmasi yang mengalami peningkatan sejak pada tahun 2020 yang disebabkan adanya pandemik global yaitu Covid-19. Hasil dari penelitian data return dari harga penutupan harga saham PT. Indofarma Tbk (INAF) dapat didekati dengan model ARIMA (0,1,1). Model ARIMA (0,1,1) memiliki unsur heterokedastisitas, sehingga dilakukan identifikasi model ARCH-GARCH, dan EGARCH. Karena model ARIMA (0,1,1) terdapat efek asimetris sehingga diperoleh model terbaik yaitu EGARCH (1,1) yang dapat mewakili efek asimetris. Model EGARCH (1,1) digunakan untuk meramalkan volatilitas return dari harga penutupan saham PT. Indofarma Tbk (INAF) dalam periode 01 Oktober 2020 hingga 01 September 2021. Hasil peramalan volatilitas menunjukan bahwa terdapat kenaikan volatilitas return dari harga penutupan saham PT. Indofarma Tbk (INAF).
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Investing activities, such as stock investment, are certainly inseparable from two important things, namely, risk and return. Return is the level of profit obtained by investors from the results of stock investments made. The goal of investors is to get a high return, but a high return must be accompanied by a high risk. There is an important component in investment activities, namely volatility which is the variance of return. Financial data in general has a tendency to volatility, so a model is needed to accommodate volatility in financial data. Models that can accommodate volatility include ARCH-GARCH, and EGARCH. The ARCH and GARCH models cannot represent asymmetric properties in financial data, so one of the models that can represent asymmetric properties is EGARCH. In this final project, the data used is the return data from the closing price of PT. Indofarma Tbk (INAF), which is a company engaged in the pharmaceutical sector, which has experienced an increase since 2020 due to the global pandemic, namely Covid-19. The results of the research on return data from the closing price of the stock price of PT. Indofarma Tbk (INAF) can be approached with the ARIMA model (0,1,1). The ARIMA model (0,1,1) has an element of heteroscedasticity, so the identification of the ARCH-GARCH and EGARCH models is carried out. Because the ARIMA model (0,1,1) has an asymmetric effect, the best model is obtained, namely EGARCH (1,1) which can represent the asymmetric effect. The EGARCH (1,1) model is used to predict the return volatility of the closing price of PT. Indofarma Tbk (INAF) in the period 01 October 2020 to 01 September 2021. The results of volatility forecasting show that there is an increase in return volatility from the closing price of PT. Indofarma Tbk (INAF).

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	ARIMA, EGARCH, Asymmetric, Volatility, Asimetris, Volatilitas
Subjects:	H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. H Social Sciences > HG Finance
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	Andita Agustin Puspitasari
Date Deposited:	07 Feb 2022 06:03
Last Modified:	07 Feb 2022 06:03
URI:	http://repository.its.ac.id/id/eprint/92948

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