Pemodelan Volatilitas Return Saham: Studi Kasus Pasar Saham Asia
July 1, 2017  //  DOI: 10.21002/jepi.v18i1.717
Linda Karlina Sari, Noer Azam Achsani, Bagus Sartono

Metrics

  • Eye Icon 571 views
  • Download Icon 787 downloads
Metrics Icon 571 views  //  787 downloads
Abstract

Modelling Volatility of Return Stock Index: Evidence from Asian CountriesVolatility is one of the interesting phenomenon in financial market; the reason is because of its eect to the existence of global financial market. The existence of volatility closely related to the risk in stock model. This research aims to determine the right model in modeling stock return volatility taken from four Asian countries with symmetric and various asymmetric model of GARCH. The result from fitting the right model for all of four stock markets showed that asymmetric model of GARCH showing a better estimation in portraying stock return volatility. Moreover, the model can reveal the existence of asymmetric eects on those four stock markets.

Full text
Show more arrow
 

Metrics

  • Eye Icon 571 views
  • Download Icon 787 downloads
Metrics Icon 571 views  //  787 downloads