Pemodelan volatilitas return indeks saham menggunakan model GARCH(1,1) berdistribusi skew-normal
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Feb 28, 2020
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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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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/prisma/article/view/37769
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References
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Nugroho, D. B., Susanto, B., & Rosely, M. M. M. (2018). Penggunaan MS Excel untuk estimasi model GARCH(1,1). Jurnal Matematika Integratif, 14, 71–81.
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Tung, H. K. K., Lai, D. C. F., & Wong, Mi. C. S. (2010). Professional financial computing using Excel and VBA. Singapura: John Wiley & Sons.
Azzalini, A. (1985). A class of distributions which includes the normal ones. Scand. Journal of Statistics, 12, 171–178.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307–327.
Casella, G., & Berger, R. L. (2002). Statistical Inference (2nd ed.). Duxbury
Christoffersen, P. F. (2012). Elements of financial risk management (2nd ed.). New York: Academic Press.
Hansen, P. R., & Lunde, A. (2005). A forecast comparison of volatility models: Does anything beat a GARCH(1,1). Journal of Applied Econometrics, 20, 873–889.
Kurniawati, D., Nugroho, D. B., & Susanto, B. (2019). Pemodelan Volatilitas untuk Return Indeks Saham Menggunakan GARCH-M(1,1). In Prosiding KNPMP IV UMS (P-ISSN: 2502-6526 E-ISSN: 2656-0615).
Nugroho, D. B. (2018). Comparative analysis of three MCMC methods for estimating GARCH models, IOP Conf. Ser. Mater. Sci. Eng. The 1th International Conference on Engineering and Applied Technology (ICEAT), Mataram, Indonesia, 29th–30th November 2017, 403, p. 012061.
Nugroho, D. B., Kurniawati, D., Panjaitan, L. P., Kholil, Z., Susanto, B., & Sasongko, L. R. (2019). Empirical performance of GARCH, GARCH-M, GJR-GARCH and log-GARCH models for returns volatility. Journal of Physics: Conference Series, 1307, p. 012003.
Nugroho, D. B., Susanto, B., Prasetia, K. N. P., & Rorimpandey, R. (2019). Modeling of return volatility using GARCH(1,1) model under Tukey transformations. Jurnal Akuntasi dan Keuangan. 20, 12–20.
Nugroho, D. B., Susanto, B., & Rosely, M. M. M. (2018). Penggunaan MS Excel untuk estimasi model GARCH(1,1). Jurnal Matematika Integratif, 14, 71–81.
Oxford-Man Institute's Realised Library. (Online). (https://realized.oxford-man.ox.ac.uk/data/download).
Tung, H. K. K., Lai, D. C. F., & Wong, Mi. C. S. (2010). Professional financial computing using Excel and VBA. Singapura: John Wiley & Sons.