Azhar, Rialdi and Kesumah, Fajrin Satria Dwi and Ambya, Ambya and Wisnu, Febryan Kusuma and Russel, Edwin (2020) APPLICATION OF SHORT-TERM FORECASTING MODELS FOR ENERGY ENTITY STOCK PRICE (STUDY ON INDIKA ENERGI TBK, JII). International Journal of Energy Economics and Policy, 10 (1). pp. 294-301. ISSN 21464553

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Q2 ACCEPT GARCH MODEL IJEEB.pdf

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Official URL: http://doi.org/10.32479/ijeep.8715

Abstract

Share price as one kind of financial data is the time series data that indicates the level of fluctuations and heterogeneous variances called heteroscedasticity. The method that can be used to overcome the effect of autoregressive conditional heteroscedasticity effect is the generalised form of ARCH (GARCH) model. This study aims to design the best model that can estimate the parameters, predict share price based on the best model and show its volatility. In addition, this paper discusses the prediction-based investment decision model. The findings indicate that the best model corresponding to the data is AR(4)-GARCH(1,1). The model is implemented to forecast the stock prices of Indika Energy Tbk, Indonesia, for 40 days and significantly presented good findings with an error percentage below the mean absolute.

Item Type: Article
Subjects: H Social Sciences > HA Statistics
Depositing User: Febryan Kusuma Wisnu
Date Deposited: 13 Jul 2020 03:34
Last Modified: 13 Jul 2020 03:34
URI: http://repository.lppm.unila.ac.id/id/eprint/20986

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