Lia Puspa Anggita, - (2018) PERAMALAN VOLATILITAS HARGA SAHAM MENGGUNAKAN MODEL ARCH/GARCH : Studi pada Negara-Negara di ASEAN Tahun 2011-2017. S2 thesis, Universitas Pendidikan Indonesia.
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Abstract
Tujuan penelitian ini untuk meramalkan pergerakan harga saham pada negara-negara ASEAN menggunakan model ARCH/GARCH. Pengujian model volatilitas harga saham dilakukan di negara-negara ASEAN yaitu Indonesia, Singapura, Malaysia, Vietnam, Thailand, Filipina dan Laos pada Januari 2011 sampai Desember 2017. Metode penelitian yang digunakan adalah deskriptif analitis. Teknik analisis menggunakan model ARCH/GARCH dengan pengolahan data menggunakan software Eviews 9. Hasil penelitian menunjukkan bahwa model yang terbaik dalam memodelkan harga saham pada seluruh negara-negara ASEAN adalah model EGARCH dan tingkat keakuratan peramalan menunjukkan tingkat kesalahan kurang dari 10 persen, sehingga model cukup akurat dalam memprediksi harga saham. Kata Kunci: Peramalan, Volatilitas, Harga Saham, Model ARCH, Model GARCH. The purpose of this study is to predict price movements in ASEAN countries using the ARCH / GARCH model. The model of stock price volatility testing is conducted in ASEAN countries such as Indonesia, Singapore, Malaysia, Vietnam, Thailand, Philippines and Laos from January 2011 to December 2017. The research method is descriptive analytical. The analysis technique used the ARCH / GARCH model with data processing using Eviews 9 software. The results show that the best model in modeling the price of all ASEAN countries is EGARCH model and the accuracy level of forecasting average difficulty level of 10 percent, Berlin model quite accurate in predicting prices. Keyword: Forecasting, Volatility, Stock Price, ARCH Model, GARCH Model.
| Item Type: | Thesis (S2) |
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| Additional Information: | No Panggil: T MMB LIA p-2018; Pembimbing: I. Nugraha, II. Ikaputera Waspada; Nim: 1602634 |
| Uncontrolled Keywords: | Peramalan, Volatilitas, Harga Saham, Model ARCH, Model GARCH |
| Subjects: | H Social Sciences > H Social Sciences (General) L Education > L Education (General) |
| Divisions: | Sekolah Pasca Sarjana > Magister Manajemen Bisnis |
| Depositing User: | Mrs. Santi Santika |
| Date Deposited: | 06 Sep 2019 02:39 |
| Last Modified: | 06 Sep 2019 02:39 |
| URI: | http://repository.upi.edu/id/eprint/38246 |
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