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All Journal JURNAL PENGABDIAN KEPADA MASYARAKAT ZERO : Jurnal Sains, Matematika dan Terapan Sinkron : Jurnal dan Penelitian Teknik Informatika Abdimas Talenta : Jurnal Pengabdian Kepada Masyarakat Matrik : Jurnal Manajemen, Teknik Informatika, dan Rekayasa Komputer Zero : Jurnal Sains, Matematika, dan Terapan AMALIAH: JURNAL PENGABDIAN KEPADA MASYARAKAT Jurnal Varian G-Tech : Jurnal Teknologi Terapan Jurnal Lebesgue : Jurnal Ilmiah Pendidikan Matematika, Matematika dan Statistika INTERNATIONAL JOURNAL OF CULTURAL AND SOCIAL SCIENCE Journal of Mathematics and Scientific Computing With Applications Journal of Comprehensive Science (JCS) Journal of Analytical Research, Statistics and Computation Jurnal Pengabdian Masyarakat (JAPAMAS)
Ismail Husein, Ismail
Department Of Mathematics, Universitas Islam Negeri Sumatera Utara, Medan, Indonesia
Religion Agriculture, Biological Sciences & Forestry Arts Humanities Chemistry Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Library & Information Science Mathematics Physics Social Sciences Other

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Journal : Jurnal Varian

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Egarch Model Prediction for Sale Stock Price Ismail Husein; Machrani Adi Putri Siregar; Arya Impun Diapari Lubis; Rima Aprilia
Jurnal Varian Vol 6 No 1 (2022)
Publisher : Universitas Bumigora

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30812/varian.v6i1.1975

Abstract

Stock is an investment in the capital market that is very promising for investors. Investors can also get high returns from the shares invested. However, this stock price is not always stable, it can go up and down drastically. The purpose of this study is to predict stock prices because they often experience instability. The method used in this research is using the Exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model with the Quasi Maximum Likelihood (QML) method. The result of this research is the implementation of this model. The EGARCH model used is the stock price index model that is formed, namely the autoregressive integrated moving average (ARIMA) (0, 1, 2) EGARCH (1.4). The conclusion from the results of the research that predictions using the ARIMA model (0, 1, 2) EGARCH (1, 4) is the best model in accommodating the asymmetric nature of the volatility of the stock price index. The results of this egarch model show more optimal prediction results seen from an error of 3% compared to other modes such as the arch model and the GARCH model.
Co-Authors Abdi, Hamdan Achyar Zein Agusmanto J.B. Hutauruk Andayani Arya Impun Diapari Lubis Arya Impun Diapari Lubis Atika Nadila Atika Rahayu Aurelia Anandara Cindy Artika dame ifa sihombing Dedy Juliandri Panjaitan Dur, Sajaratud Ella Nuhrul Huda Eva Ridya Wanti Lingga Eva Yuliani Fadhillah, Nurul Fadhlan Rizky Fauzah Umami Hamidah Nasution Hamidah Nasution Hamidah Nasution Hanifah Dara Puspita Hendra Cipta Ika Junia Saputri Indra Jaya Jumiati, Ety Junita Fadilah Jusmita Weriza Karadeniz, Ahmet Serdar Karadeniz, Mehmet Fatih Khairan marzuki Khairun Nisa Khoiriah Syahfitri Ladia Sabrina Ladia Sabrina Ledya Frischa Linda Kumala Sari M Fakhariza M. Abdul Rizki Mega Nur Hidayah Mei Yunina Arianti Mhd. Joni Marpaung Muhammad Farhan Mingka Nafila Zendhia Ulhaq Noranizamardia Noranizamardia Novianti Nur Atsilah Hasibuan Nuraini Ade Putri Lubis Nurul Huda Prasetya Nurul Khoiriah Hasibuan Puan Salwa Afifah Rahma Utami Rakhmawati, Fibri Riezky Meiliza Rima Aprilia Rima Aprilia Rina Filia Sari Rina Filia Sari Rina Filia Sari Rina Widya Sari Rina Widyasari Rina Widyasari Rina Widyasari Rina Widyasari Rizka Ramadani Sam Roshihan Mawazzi Lubis Sajaratud Dur Sajaratud Dur Sajaratud Dur Sajaratud Dur Sajaratud Dur Sari, Rina Widya Shedriko, Shedriko Sihombing, Dame Ifa Sintia Fransiska Siregar, Machrani Adi Putri Sri Ulfa Rahayu Syafitriani Tramilta Salsabila Harahap Weber, Gerhard Wilhelm Widya Tantri Astuti Widyasar, Rina Widyasar, Rina Widyasari, Rina Yaumi Yumna Yusra Habibah Laily Zelika Febrianti