Herawati, Netti and Setiawan, Eri and Nisa, Khoirin Perbandingan model-model Asimetris. statistics. (Unpublished)

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Abstract

This paper aims to compare several asymmetric conditional volatility models ussually use in time series forecasting models. The focus is on Indonesia Telecomunication Inc. daily stock return volatility data to the 2016-2017 time interval. The presence of leverage effects in empirical series is investigated. The GARCH, TGARCH, EGARCH, and APARCH models are used and examined to estimate the best forecasting model bBased on the value of Akaike Information (AIC) and Schwarz Criterions (SC). Key Words : Volatility, GARCH, TGARCH, EGARCH, APARCH, AIC dan SC.

Item Type:	Article
Subjects:	H Social Sciences > HA Statistics
Divisions:	Fakultas Matematika dan Ilmu Pengetahuan Alam (FMIPA) > Prodi Matematika
Depositing User:	Dr NETTI HERAWATI
Date Deposited:	29 May 2017 06:34
Last Modified:	29 May 2017 06:34
URI:	http://repository.lppm.unila.ac.id/id/eprint/1829

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