Russel, Edwin and Kesumah, Fajrin Satria Dwi and Rialdi, Azhar and Nairobi, Nairobi and Usman, Mustofa (2020) Dynamic modeling and forecasting stock price data by applying AR-GARCH model. TEST Engineering and Management, 82. pp. 6829-6842. ISSN 0193 - 4120

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Abstract

The aims of this study are to obtain the best model, to estimate parameters, and to predict the adjusted closing stock prices of Elnusa Tbk from January 2015 to December 2018, which is categorized in BEI as mining sector in Indonesia.Application of AR-GARCH model comes to be the solution to overcome the high volatility and heterogeneous variance that can often be the issues in many financial and economic time series data. The best model which fits to the data is AR(1)-GARCH(1,1) model.The model can be applied soundly to predict the following 30 days stock prices that can a consideration for investors to put or call the firm’s stocks.

Item Type: Article
Subjects: H Social Sciences > HC Economic History and Conditions
Depositing User: S.E.M.S.A. Rialdi Azhar
Date Deposited: 29 May 2020 06:54
Last Modified: 29 May 2020 06:54
URI: http://repository.lppm.unila.ac.id/id/eprint/20994

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