Pemodelan volatilitas return indeks saham menggunakan model GARCH(1,1) berdistribusi skew-normal

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Agus Priyono
Didit Budi Nugroho
B. Susanto

Abstract

Studi ini menganalisis volatilitas dari return aset keuangan berdasarkan model GARCH(1,1) dengan mengasumsikan return error berdistribusi skew-normal. Parameter-parameter model diestimasi menggunakan alat bantu Solver Excel. Data riil yang diamati yaitu data return harga indeks saham FTSE 100 dan IBEX 35 periode harian dari Januari 2000 sampai dengan Desember 2017. Hasil empiris menunjukkan bahwa model GARCH(1,1) dengan return error berdistribusi skew-normal menyediakan pencocokan terbaik dibandingkan  distribusi normal.

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How to Cite
Priyono, A., Nugroho, D., & Susanto, B. (2020). Pemodelan volatilitas return indeks saham menggunakan model GARCH(1,1) berdistribusi skew-normal. PRISMA, Prosiding Seminar Nasional Matematika, 3, 46-51. Retrieved from https://journal.unnes.ac.id/sju/index.php/prisma/article/view/37769
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