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All Journal Jurnal Ilmu Pertanian Indonesia FORUM STATISTIKA DAN KOMPUTASI Matrik: Jurnal Manajemen, Strategi Bisnis, dan Kewirausahaan Media Statistika Sosiohumaniora Statistika CAUCHY: Jurnal Matematika Murni dan Aplikasi Jurnal Ekonomi dan Pembangunan Indonesia Perfecting a Video Game with Game Metrics Indonesian Journal of Business and Entrepreneurship (IJBE) Jurnal Berkala Ilmu Perpustakaan dan Informasi Jurnal Teknologi Informasi dan Ilmu Komputer Jurnal Aplikasi Bisnis dan Manajemen (JABM) E-Journal Journal of Consumer Science Jurnal Ilmiah Arena Tekstil MIX : Jurnal Ilmiah Manajemen JOIN (Jurnal Online Informatika) Journal of Consumer Sciences Seminar Nasional Variansi (Venue Artikulasi-Riset, Inovasi, Resonansi-Teori, dan Aplikasi Statistika) Informatika Pertanian Inovasi : Jurnal Ekonomi, Keuangan, dan Manajemen Indonesian Journal of Artificial Intelligence and Data Mining JEPA (Jurnal Ekonomi Pertanian dan Agribisnis) Albacore : Jurnal Penelitian Perikanan Laut BAREKENG: Jurnal Ilmu Matematika dan Terapan JTAM (Jurnal Teori dan Aplikasi Matematika) Indonesian Journal of Statistics and Its Applications Warta Penelitian Perhubungan International Journal of Remote Sensing and Earth Sciences (IJReSES) Buletin Ekonomi Moneter dan Perbankan STI Policy and Management Journal International Journal of Zakat (IJAZ) International Journal of Science, Engineering and Information Technology Jurnal Statistika dan Aplikasinya SRIWIJAYA JOURNAL OF ENVIRONMENT Jurnal Natural Xplore: Journal of Statistics JEPI
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Department Of Statistics, Faculty Of Mathematics And Natural Sciences, IPB University, Campus IPB Darmaga, Bogor 16680
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Journal : Jurnal Ekonomi dan Pembangunan Indonesia

 1 
Pemodelan Volatilitas Return Saham: Studi Kasus Pasar Saham Asia Sari, Linda Karlina; Achsani, Noer Azam; Sartono, Bagus
Jurnal Ekonomi dan Pembangunan Indonesia Vol 18 No 1 (2017): Juli 2017
Publisher : Department of Economics-FEB UI

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (198.5 KB) | DOI: 10.21002/jepi.v18i1.717

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.Keywords: GARCH Asymmetric; Stock Market; Modelling; GARCH Symmetry; Volatility AbstrakVolatilitas pada pasar keuangan merupakan salah satu fenomena yang sangat menarik karena dampaknya terhadap eksistensi pasar finansial global. Keberadaan volatilitas berhubungan dengan risiko sebuah. Tulisan ini bertujuan menentukan model terbaik dalam memodelkan volatilitas return saham pada empat negara di Asia dengan menggunakan model simetris GARCH dan berbagai macam model asimetris GARCH. Hasil dari fitting model terbaik untuk keempat pasar saham menunjukkan bahwa model asimetris GARCH menunjukkan estimasi yang lebih baik dalam menggambarkan volatilitas return saham. Lebih jauh lagi, model tersebut mengungkapkan keberadaan efek asimetris pada keempat pasar saham. 
Co-Authors Aam Alamudi Abdul Aziz Nurussadad Achsani, Noer Azham Adi Hadianto Adinna Astrianti Agus M Soleh Agus M Soleh Agus M Soleh Agus M. Sholeh Agus Mohamad Soleh Aji Hamim Wigena Akbar Rizki Alfa Nugraha Pradana Alona Dwinata Amin, Toufiq Al Anang Kurnia Andi Susanto Andrie Agustino Anggraini Sukmawati Ani Safitri Anik Djuraidah Annissa Nur Fitria Fathina Anton Ferdiansyah Ardiansyah, Muhlis Ari Shobri Bukhari Arief Daryanto Arief Daryanto Arief Gusnanto Aris Yaman Aris Yaman Aruddy Aruddy Asep Rusyana ASEP SAEFUDDIN Aunuddin Aunuddin Auzi Asfarian Bakri, Rizal Barokaturrizkia Ameliani Bayu Indrayana Beny Mulyana Sukandar Bonar Marulitua Sinaga Budi Susetyo Budi Susetyo Budi Susetyo Dani Al Mahkya Dede Dirgahayu Defri Ramadhan Ismana Deiby T Salaki Deni Achmad Soeboer Dewi Margareth Lumbantoruan Dian Ayuningtyas Dian Kusumaningrum Dwi Agustin Nuriani Sirodj Embay Rohaeti Erfiani Erfiani Ervina Mela Dewi, Yandra Arkeman, Erliza Noor, Noer Azam Achsani Evita Purnaningrum EVITA PURNANINGRUM FAHREZAL ZUBEDI Farit M Afendi Farit M. Afendi Farit Mochamad Afendi Ferdiansyah, Anton Ferdiansyah, Anton Fitri Mudia Sari Fitrianto, Anwar Frisca Rizki Ananda Galih Hedy Saputra Gerry Alfa Dito Gumilar, Bagus Randhyartha Hafizah Ilma Hanum Rachmawati Nur Hari Wijayanto Harianto Harianto Hazan Azhari Zainuddin Hendri Wijaya Hendria, Muhammad Herlina Herlina Hidayat, Muhammad Hilman Dwi Anggana I Wayan Mangku Indahwati Indahwati Indahwati Indahwati Indahwati Indahwati Indonesian Journal of Statistics and Its Applications IJSA Irene Muflikh Nadhiroh Irfan Syauqi Beik Itasia Dina Sulvianti Iwan Kurniawan K A Notodiputro Khairunnajah Khairunnajah Khusnia Nurul Khikmah Kudang Boro Seminar Kusman Sadik kusnaeni kusnaeni Laode Ahmad Sabil Lilik Noor Yuliati Linda Karlina Sari Luky Adrianto Megawati Simanjuntak Muhammad Hendria Muhammad Ilham Abidin Muhammad Nur Aidi Mukhamad Najib Mutiara Nurul Iman Nofrida Elly Zendrato Novi Puspita NUR HASANAH Oktaviani, Rina Pardomuan Robinson Sihombing Pika Silvianti Rahardiantoro, Septian Rahma Anisa Rahma Dany Asyifa Rina Oktaviani Riza Indriani Rakhmalia Rizka Rahmaida ROCHYATI ROCHYATI Roy Sembel Sachnaz Desta Oktarina Sachnaz Desta Oktarina Saka Haditya Murpraptomo salsa bila Sarah Putri Sari, Linda Karlina Septa Dwi Cahya Seta Baehera Setiadi Djohar Sholeh, Agus M. Sukarna Sukarna Sunandi, Etis Susanto, Andi Totong Martono Toufiq Al Amin Toufiq Al Amin Triscowati, Dwi Wahyu Ujang Sumarwan Utami Dyah Syafitri Utami Dyah Syafitri Vera Maya Santi Wahyudi Setyo Yenni Angraini Yoga Primanda Yopi Ariesia Ulfa Zaima Nurrusydah