ANALISIS VOLATILITAS PASAR MODAL DI INDONESIA PENERAPAN MODEL GARCH PADA RETURN SAHAM IHSG HARIAN 4 APRIL 1983 � 15 JULI 2013
Several studies related to stock market return volatility have been performed by researchers, from linear model which assume constant variance to nonlinear model with structural breaks such as Markov-switching. This study aims to analyse daily stock market return volatility in Indonesia period April...
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| Main Authors: | , |
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| 格式: | Theses and Dissertations NonPeerReviewed |
| 出版: |
[Yogyakarta] : Universitas Gadjah Mada
2013
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| 主題: | |
| 在線閱讀: | https://repository.ugm.ac.id/127039/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=67281 |
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| 總結: | Several studies related to stock market return volatility have been performed by
researchers, from linear model which assume constant variance to nonlinear model with
structural breaks such as Markov-switching. This study aims to analyse daily stock market
return volatility in Indonesia period April 4
th
1983 � July 15
th
2013 using Autoregressive
Conditional Heteroscedasticity (ARCH), Generalized Autoregressive Conditional
Heteroscedasticity (GARCH), and its leverage. Estimation results found linear model, which
assume constant variance, no longer accurate to predict stock market return volatility
movement in Indonesia. Good news and bad news also give different impact to volatility. |
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