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Dienni Ruhjatini Sholihah
Universitas Pembangunan Nasional Veteran Jakarta
Religion Agriculture, Biological Sciences & Forestry Arts Humanities Decision Sciences, Operations Research & Management Dentistry Earth & Planetary Sciences Economics, Econometrics & Finance Education Engineering Environmental Science Languange, Linguistic, Communication & Media Mathematics Neuroscience Nursing Public Health Social Sciences Veterinary Other

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Journal : Ekonomi dan Bisnis

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PEMODELAN VOLATILITAS INDEKS HARGA SAHAM DENGAN METODE GARCH DAN E- GARCH : STUDI KASUS PADA JAKARTA STOCK EXCHANGE COMPOSITE INDEX ( JCI ) DAN STRAIT TIMES INDEX (STI ) Siwi Nugraheni; Ardhiani Fadilla; Dienni Ruhjatini Solihah
Ekonomi dan Bisnis Vol 9 No 2 (2022): EKONOMI DAN BISNIS
Publisher : Fakultas Ekonomi dan Bisnis, Universitas Pembangunan Nasional Veteran Jakarta

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Abstract

Trading shares of a country has the same or different characteristics as other countries. The characteristics of the market are a reflection of the character of investors who play a role in trading on the stock exchange. Although there are differences or similarities in character on a country's stock exchange, there is something experienced by all stock exchanges in various countries, namely the movement of stock price values and volumes in stock trading dynamically known as volatility. Volatility as a risk that  an investor must face in investing requires the  ability to predict volatility so that the risk of loss borne by investors can be reduced. The volatility forecasting model with the Garch and E Garch methods is expected to be one of the investors' considerations in making rational investment decisions.
Co-Authors Alnisa Min Fadlillah Alnisa Min Fadlillah Alnisa Min Fadlillah Ardhiani Fadila Ardhiani Fadila Ardhiani Fadilla Bambang Irawan Fadlillah, Alnisa Min Handi Abdul Hadi M Dimyati Mira Rahmi Siwi Nugraheni Siwi Nugraheni Siwi Nugraheni Utami, Kery